Monthly seminars "chaire ACPR"

 

The ACPR Research Initiative seminar highlights high-quality research addressing issues of regulation and systemic risk for both banks and insurance firms. 

The seminar takes place on the first Wednesday of the month from 10.00 to 11.30 in the premises of the ACPR: 4, place de Budapest, Salle Liège (rez-de-jardin) -  See access plan.  

The seminar is open to everybody. Registration by email at chaireACPR@acpr.banque-france.fr is free but compulsory in order to attend. If you wish to be informed of upcoming events, please send an email to the same address.

The ACPR Studies Department organizes independent seminars as well: the page dedicated to the ACPR research seminars is available here.

 

NEXT EVENT

 Wednesday, October 6th 2021, 10.30 am – 12.00 pm

Grigory Vilkov (Frankfurt School of Finance and Management) will present:

« Pricing Climate Change Exposure »

Abstract: We estimate the risk premium for firrm-level climate change exposure from 2003 to 2019. Exposure is constructed from discussions of climate-related risks and opportunities in earnings calls. When extracted from realized returns, the unconditional risk premium is zero. This insignificant overall effect masks risk premium increases during the sample period, but with a slump in the financial crisis. Forward-looking proxies deliver an unconditionally positive expected risk premium, with subtle differences in the time series depending on the treatment of tail risks and opportunities. When the underlying model uses variance as the sufficient risk statistic, the premium gradually increases over time. When the model considers tails, the premium declines after 2015, because investors now link climate change exposure to higher opportunities and lower crash risk. This fnding arises as the priced part of the risk premium primarily originates from climate-related opportunity shocks rather than downside physical or regulatory shocks.

 

Pay attention, this seminar will take place online.

To receive the invitation to the web platform, (free) registration is compulsory by mail at chaireACPR@acpr.banque-france.fr

TO CONTACT US 

Article

PREVIOUS EVENT

 Wednesday, 15th September 2021, 10.30 am – 12.00 pm

Andrea Presbitero (Johns Hopkins University School of Advanced International Studies) will present:

“Expansionary Yet Different: Credit Supply and Real Effects of Negative Interest Rate Policy”

 

Pay attention, this seminar will take place online.

To receive the invitation to the web platform, (free) registration is compulsory by mail at chaireACPR@acpr.banque-france.fr

TO CONTACT US 

Article

 

Publication Seminars
Climate Linkers: Rationale and Pricing

This paper makes a case for climate linkers. We define climate linkers as long-dated financial instruments (bonds, swaps, and options) with payoffs indexed to climate-related variables, e.g. temperatures or carbon concentrations. Such instruments would...

  • Published on 09/22/2021
  • FR
  • PDF (439.93 KB)
Publication Seminars
Digital currencies and bank competition
  • Published on 05/27/2021
  • FR
  • PDF (329.28 KB)