Other events of ACPR Research Initiative « Regulation and Systemic Risks »

08/03/2017 : House of Finance Day, ACPR Chair "Regulation and Systemic Risk"

Conference venue :

University Dauphine House of Finance - Room A709 – Building A - Place du Maréchal de Lattre de Tassigny, 75116 Paris




8.30 – 9.15 : Invited Session

Chairman : Bandt, O., Director for Research (ACPR)

  • B., Hirtle (Executive Vice-President, Director of Research, Federal Reserve Bank of NY): "Lessons from Supervisory Stress Testing"


9.15 – 10.45 : Stress Testing Credit Risk

Chairman : Perignon,C. (HEC)

  • Camara, B. (ACPR),  Pessarossi, P. (ACPR) and T., Philippon, T (NYU): "Back Testing European Stress Tests"
  • Bah, A. (Credit Agricole), Gourieroux, C. (CREST and University Toronto), and A., Tiomo (Credit Agricole): "Asymptotic Risk Factor Model with Volatility Factors"
  • de Bandt,O. (ACPR),  Devost ,G. (ACPR), and M., Dietsch  (University of Strasbourg): "Stress Testing Residential Real Estate Portfolios"


10.45 – 11.15 : Coffee Break


11.15 – 13.15 : Stress Testing Market and Systemic Risks

Chairman: Gourieroux, C. (CREST and University of Toronto)

  • Rampini, A. (Fuqua School of Business), Viswanathan ,S. (Duke Univ.), and G., Vuillemey (HEC Paris): "Risk Management in Financial Institutions"
  • Benoit,S.(Dauphine University), Hurlin,C. (University of Orleans),andC., Perignon (HEC Paris): "Pitfalls in Systemic Risk Scoring"
  • Gabrieli ,S., (Banque de France),and  C. Labonne (ACPR-PSE): "Bad Sovereigns or Bad Balance Sheets? Risk Adjustment to GIIPS Exposures on the Euro Interbank Market"
  • Gourieroux, C. (Crest and University Toronto), Monfort,A. (CREST),and J.P.Renne (Lausanne University): "Statistical Inference for Independent Component Analysis: Application to Structural VAR Models"


13.15 – Lunch

11&12/11/2016 : The Field Institute "New challenges for big data in economics and finance conference"

24/03/2016 : House of Finance Day, ACPR Chair "Regulation and Systemic Risk"

Conference venue :

University Dauphine House of Finance - Room A709 – Building A Place du Maréchal de Lattre de Tassigny, 75116 Paris




9.00 – 9.15 Introduction de Bandt, O., Director for Research (ACPR)


9.15 – 10.45 Risk and Regulation in Banking

Chair: Heam, J.C. (CREST-INSEE)


10.45 – 11.15 Coffee Break


11.15 – 12.15 Systemic and Systematic Risks

Chair: Monfort, A. (CREST and Univ. Maastricht)


12.15 – 13.00 Duffie, D. (Stanford Univ. and École Polytechnique Fédérale de Lausanne) "Why We Need Better Financial Benchmarks".

06/10/2015 : Conférence « Modelling in Life Insurance : A management perspective » organisée à l’ISFA-Lyon les 6 et 7 Octobre 2015


The conference Modelling in life insurance: A management perspective will address all topics related to modelling in life insurance with a focus on practical implementation and management issues: Market consistency and accounting processes, cash flow projection models, ESG, Internal and ORSA models, Metamodels, Management actions, Model validation, backtesting and steering processes, Data quality and documentation, Model Risk, Model governance and stakeholders, Data Analytics in life insurance...


The conference is open to both academics and practitioners (actuaries, enterprise risk modelers, risk managers, etc.).


The conference is organized by the chair Management de la modélisation hosted by ISFA and sponsored by BNP Paribas CARDIF with the support of the Initiative de Recherche ACPR Regulation and Systemic Risks (The financial support by the IDR ACPR may finance in particular young researchers', post-docs' and Phd-students' travel costs.).


Venue : The conference will take place at ISFA Campus, Lyon.


Scientific committee: Michel DENUIT (ISBA, UCL Louvain), Christian GOURERIOUX (CREST & University of Toronto), Ragnar NORBERG (ISFA, University Lyon 1), Gary VENTER (Columbia University), Shaun WANG (The Geneva Association), Jean-Paul LAURENT (University Paris 1).


Organizing committee: Jean-Paul FELIX (BNP Paribas CARDIF), Jean-Paul LAURENT (University Paris 1), Stéphane LOISEL (ISFA, University Lyon 1), Frédéric PLANCHET (ISFA, University Lyon 1), Christian ROBERT (ISFA, University Lyon 1), Pierre THEROND (ISFA, University Lyon 1).


Confirmed Invited Speakers: George DIONNE (University of Montréal), David INGRAM (Willis Re, New York), Hélène N’DIAYE (Generali), Bernard BOLLE-REDAT (BNP Paribas Cardif), Mohamed BACCOUCHE (Axa), Pierre THEROND (Galea & Associés, ISFA), Mickaël DE TOLDI (BNP Paribas Cardif).




Title and abstract must be sent by e-mail to submission-m2a@isfa.fr by July 15, 2015. Authors will be notified by July 30, 2015. Proposals for special panels and poster sessions are encouraged.

19/06/2015 : Workshop Banque de France "Term Structure Modelling and the Zero Lower Bound" in association the ACPR Chair


The Banque de France, in association with the ACPR Chair, organizes a workshop entitled "Term Structure Modelling and the Zero Lower Bound", held in Paris on 19 June 2015. The program of the workshop is here:  program

04/06/2015 : Conference “New Frontiers in Systemic Risk Measures and Extreme Risk Management » organized by Paris-Dauphine University, New-York University Brooklyn College and University of Toronto, in association with the ACPR Chair


Paris-Dauphine University, New-York University Booklyn College and Univeristy of Toronto, in association with the ACPR Chair, organize a conference entitled « New Frontiers in Systemic Risk Measures and Extreme Risk Management », held in New-York on 4th June 2015. The minutes of the conference are here:  minutes

11/06/2014 : Conférence Banque de France / Chaire ACPR / SoFiE "Risque systémique et régulation financière"


The Banque de France and the ACPR, the French banking regulator, in association with the Society for Financial Econometrics (SoFiE), will jointly organize a conference entitled "Systemic Risk and Financial Regulation", to be held in Paris on 3-4 July 2014.

In the aftermath of the global crisis, financial regulation has gone through major changes in order to prevent the build-up of systemic risk. However, many problems still remain unresolved and more research, notably empirical research, is called for. This conference aims at bringing together experts in banking, insurance, regulation and financial economics in order to take stock of current academic research on systemic risk and financial regulation. In particular, contributions dealing with the following subjects are encouraged:


  • systemic risk measures,
  • stress testing,
  • counterparty risk,
  • modeling the interaction between the macro-economy and financial regulation,
  • financial networks,
  • contagion.


Conference program.


Banque de France, SoFiE, Chaire ACPR, Global Risk Institute, Labex louis Bachelier, Labex Ecodex.


Program commitee:
C. Brownlees (Pompeu Fabra), O. de Bandt (ACPR), H. Fraisse (ACPR), P. Gagliardini (SFI and U. of Lugano), C. Gouriéroux (CREST and U. of Toronto), N. Hautsch (Vienna U.), J.C. Héam (ACPR and CREST), T. Hurd (McMaster U.), S. J. Koopman (Free U. of Amsterdam), S. Manganelli (ECB), J.S. Mésonnier (Banque de France), A. Monfort (CREST), C. Pérignon (HEC Paris), E. Renault (Brown U.), J.P. Renne (Banque de France), H. Rey (LBS), O. Scaillet (SFI and U. of Geneva), D. Thesmar (HEC Paris).


To attend this conference, please contact by June, 20th: confSRFR@banque-france.fr.


Web page of the conference on the site of the Banque de France

Updated on: 08/04/2017 16:09