Conference venue :

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

Program 

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

Conference venue :

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

Program 

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)

• Perignon, C., (HEC), Thesmar, D., (HEC and CEPR), and G., Vuillemey (HEC): "Wholesale Funding Runs".

• Fraisse, H. (ACPR), Hombert, J. (HEC), and M., Lé (ACPR): "The Competitive Effects of a Bank Megamerger on Access to Credit".

• Colliard, J.E. (HEC) and Georg, C. (University of Cape Town and Deutsche Bundesbank): "Measuring Regulation Complexity".

10.45 – 11.15 Coffee Break

11.15 – 12.15 Systemic and Systematic Risks

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

• Calvet, L., (HEC), Czellar V., (EDHEC) and C., Gourieroux (CREST and Univ. of Toronto):"Structural Dynamic Analysis of Systematic Risk".

• Banalescu, D. (Orleans Univ.), Hurlin, C., (Orleans Univ.), Leymarie, J. (Orleans Univ.), and O., Scaillet (GFRI and Geneva Univ.): "Backtesting MES and Related Systemic Risk Measures".

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

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).

SUBMISSION PROCESS

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.

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

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