Program

Monday, November 30, 2020

Time Event  
14:00 - 14:10 Opening Words  
14:10 - 14:40 The climate spread of corporate and sovereign bonds - Stefano Battiston
 
14:40 - 14:50 Q&A  
14:50 - 15:20 Climate Stress Tests: The ACPR's pilot exercise for the credit sector - Elisa Ndiaye
 
15:20 - 15:30 Q&A  
15:30 - 16:00 Break  
16:00 - 16:30 Estimation of extreme quantiles from heavy-tailed distributions in a location-dispersion regression model - Stéphane Girard
 
16:30 - 16:40 Q&A  
16:40 - 17:10 Cascade Sensitivity Measures - Silvana Pesenti
 
17:10 - 17:20 Q&A  

Tuesday, December 1, 2020

Time Event  
14:10 - 14:40 Stress Testing exposures towards CCPs: Quantification and Probabilisation - Dorinel Bastide  
14:40 - 14:50 Q&A  
14:50 - 15:20 Stress tests in CCPs: overview and best practices - Claude Martini
 
15:20 - 15:30 Q&A  
15:30 - 16:00 Break  
16:00 - 16:30 Darwinian model risk and reverse stress testing - Stéphane Crépey  
16:30 - 16:40 Q&A  
16:40 - 17:10 Optimal Bailouts and the Doom Loop with a Financial Network - Agostino Capponi
 
17:10 - 17:20 Q&A  
17:20 - 17:30 Closing Remarks  
  
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