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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