Program for stream Financial Risk Measurement and Management

MB-10: Insurance risk management
Stream: Financial Risk Measurement and Management
Room: U6 (building U-wing)
Chair(s): Susanna Levantesi

• A R-vine copula based model for multi-peril insurance ratemaking
  Mario Marino
• Risk Sharing Rule and Safety Loading in a Peer to Peer Cooperative Insurance Model
  Gabriella Piscopo, Gian Paolo Clemente, Susanna Levantesi
• Mixed ABM for NDC pension schemes in presence of demographic and economic uncertainty
  Massimiliano Menzietti, Jacopo Giacomelli
• A simulation approach to robust risk management of derivative products.
  Bertrand Tavin

MC-07: Risk Management in Private and Public Finance
Stream: Financial Risk Measurement and Management
Room: U3 (building U-wing)
Chair(s): Loretta Mastroeni

• Re-investigating oil-food price co-movements using wavelet analysis
  Loretta Mastroeni, Alessandro Mazzoccoli, Greta Quaresima, Pierluigi Vellucci
• Untruthful Advisors and Greedy Customers: an Agent-Based Model
  Pierluigi Vellucci, Loretta Mastroeni, Maurizio Naldi
• MARKET INSTABILITY IN THE ERA OF ENERGY TRANSITION
  Ivan De Crescenzo
• The asymmetric impact of the pandemic crisis on interest rates on public debt: Some evidence from the Eurozone
  Giovanni Carnazza

MC-10: Artificial Intelligence in Finance and Investments
Stream: Financial Risk Measurement and Management
Room: U6 (building U-wing)
Chair(s): Peter Schwendner, Alexander Posth, Wolfgang Härdle, Marcus Wunsch, Galena Pisoni

• Investor demand in syndicated bond issuances: stylised facts
  Peter Schwendner, Martin Hillebrand, Marko Mravlak
• Robust Classification via Support Vector Machines
  Salvatore scognamiglio, Ioannis Kyriakou
• Using Explainable AI to Understand Bond Excess Returns
  Lars Beckmann, Jörn Debener, Johannes Kriebel
• Exploring the trends in Cryptocurrencies
  Rajhans Mishra

MD-07: Innovative Risk Management
Stream: Financial Risk Measurement and Management
Room: U3 (building U-wing)
Chair(s): Rosella Castellano

• The relationship between UK government daily briefings and the stock market performance during the COVID-19 era
  Valerio Ficcadenti, Thamila Madji, Gurjeet Dhesi
• Financial interbanking networks resilience under shocks propagation
  Antonio Iovanella, Roy Cerqueti, Matteo Cinelli, Giovanna Ferraro
• Volatility and Spillover effects between European Energy and Stock Markets: A Multivariate Approach
  Claudiu Botoc, Sorin Gabriel Anton
• On the development of an Adaptative Health Index for a Hydropower Plant
  Felipe Tetsuo Yamada, Flávia Barbosa, Luis Guimarães, Armando Leitão

MD-10: Machine Learning and Complex Systems for Finance and Insurance
Stream: Financial Risk Measurement and Management
Room: U6 (building U-wing)
Chair(s): Zelda Marino, Stefania Corsaro

• ESG rating and tail risk: the role of sustainability in financial networks
  Francesca Grassetti, Davide Stocco
• A machine learning model for lapse prediction in life insurance contracts
  Daniele Marazzina
• Quantile Mortality Modelling via Neural Network
  Zelda Marino, Stefania Corsaro, Salvatore scognamiglio
• The choice between sustainable and unsustainable investment projects
  Michi Nishihara

TA-07: Enterprise Risk management
Stream: Financial Risk Measurement and Management
Room: U3 (building U-wing)
Chair(s): Rita D'Ecclesia

• SMEs’ leadership, managerial and financial performance: A mediated moderation model from product life cycle perspective
  Eduard Gabriel Ceptureanu, Sebastian Ion Ceptureanu
• Generalized Optimal Transport Problems in Finance and Economics
  David Saunders
• Machine Learning in Due Diligence evaluation to increase NPLs profitability transactions on secondary market
  Maria Carannante, Valeria D Amato

TA-10: Portfolios risk management I
Stream: Financial Risk Measurement and Management
Room: U6 (building U-wing)
Chair(s): Tomáš Tichý

• Portfolio Volatility Estimation Using Cross-sectional Intrinsic Entropy Model
  Claudiu Vinte, Marcel Ausloos
• Reference dependence in behavioral portfolio selection
  Martina Nardon, Diana Barro, Marco Corazza
• Innovation ambidexterity effects on financial performance
  Sebastian Ion Ceptureanu, Eduard Gabriel Ceptureanu
• A relative robust approach on expected returns with bounded CVaR for portfolio selection
  Stefano Benati, Eduardo Conde

TB-07: Contagion in Financial Network
Stream: Financial Risk Measurement and Management
Room: U3 (building U-wing)
Chair(s): Markku Kallio

• Estimation of some optimal cointegrated trading strategies
  Michal Cerny, Vladimír Holý
• Cooperative Mitigation of Contagion in Financial Networks
  Markku Kallio, Aien khabazian, rudan wang
• A graph-based semi-supervised reject inference framework for credit scoring
  Zongxiao Wu, Yizhe Dong, Yaoyiran Li
• Multi-objective Leverage Optimization Method with Bayesian Stock Price Predictions
  Risto Heikkinen

TB-10: Pricing and Risk management
Stream: Financial Risk Measurement and Management
Room: U6 (building U-wing)
Chair(s): Mariacristina Uberti

• Living on the Edge: An Unified Approach to Antithetic Sampling
  Roberto Casarin
• The estimation error in the Basel II IRB approach: floors to the estimated parameters
  Mariacristina Uberti, Simone Casellina, Simone Landini
• Correlation expansions methods in derivatives pricing
  Alessandro Ramponi

TC-07: Fintech and market dynamics
Stream: Financial Risk Measurement and Management
Room: U3 (building U-wing)
Chair(s): Bertrand Tavin

• Need for Speed, but How Much Does It Cost? Unpacking the Fee-Speed Relationship in Bitcoin Transactions
  Guangzhi Shang
• Which cryptocurrency is leading the market? Evidence from dynamic networks
  Barbara Będowska-Sójka, Piotr Wójcik
• BRICS stock markets, cryptocurrencies, and stablecoins: Asymmetry and quantile dependency
  Mariem BRAHIM

TC-10: Optimization in Financial Markets
Stream: Financial Risk Measurement and Management
Room: U6 (building U-wing)
Chair(s): Audrius Kabasinskas

• Active portfolio management using robust optimization
  Illia Kovalenko, John Cotter, Thomas Conlon
• A Stochastic Gordon-Shapiro Formula and the Equity Premium Puzzle Reconsidered
  Andreas Loeffler, Lutz Kruschwitz
• On the development of stochastic dominance based tracking index
  Kristina Sutiene, Milos Kopa, Audrius Kabasinskas
• Theory of Pure Active Risk Measure
  DIPANKAR MONDAL

TD-07: AI in Financial modelling
Stream: Financial Risk Measurement and Management
Room: U3 (building U-wing)
Chair(s): Rita Pimentel

• Pricing Bermudan basket options with stochastic volatility using deep neural networks
  Rita Pimentel, Bjørn André Aaslund, Johannes Berge, Ying Ni
• Interpretable and powerful predictions of personal financial volatility in presence of non-linear transactional patterns
  Galina Andreeva, Rui Ying Goh, Yi Cao
• Machine Learning Framework to Price Setting Risk-Averse Data-Driven Newsvendor Problem
  Eren Atsız, Enis Kayis, Erinc Albey

TD-10: Banking Risk Management
Stream: Financial Risk Measurement and Management
Room: U6 (building U-wing)
Chair(s): Sandra Challita

• Risk management of Commercial Banks caused by CBDC
  Tadashi Uratani
• Cooperative banks business model’s efficiency
  Sandra Challita, Rym Ayadi, Doriana Cucinelli
• Capital reserve management for a multi-dimensional risk model
  Erik Winands
• Liquidity Coverage at Risk
  Virginia Pugliese, Giacomo Morelli

WA-10: Robust optimization in Finance
Stream: Financial Risk Measurement and Management
Room: U6 (building U-wing)
Chair(s): Cyril Izuchukwu Udeani

• Solution of HJB equation arising from Portfolio Management problem using monotone operator technique
  Cyril Izuchukwu Udeani
• Estimating the potential of fuel cell buses with real option analysis
  Tero Haahtela
• New Approaches for Identifying Robust Dominating Portfolios Based on Second-Order Stochastic Dominance
  Peng Xu

WB-10: Portfolio Risk Management II
Stream: Financial Risk Measurement and Management
Room: U6 (building U-wing)
Chair(s): Nina Lange

• Jump-Diffusion Risk-Sensitive Benchmarked Asset Management with Traditional and Alternative Data
  Sebastien Lleo
• Integrating multiple ordinal information into portfolio optimization
  Eranda Cela, Stephan Hafner, Roland Mestel, Ulrich Pferschy
• Hidden Markov Model Utilization in Financial Modeling
  Marian Reiff, Juraj Pekár, Ivan Brezina
• Trade-off between correlation and trading costs in proxy-hedging
  Nina Lange, Michael Coulon, Diana Prinzbach

WC-10: Sustainable Investing
Stream: Financial Risk Measurement and Management
Room: U6 (building U-wing)
Chair(s): Roy Cerqueti

• Is Green ETF the winning investment strategy?
  Rita D'Ecclesia, Kevyn Stefanelli, Giacomo Morelli
• ESG investing: A chance to reduce systemic risk
  Marco Nicolosi, Roy Cerqueti, Rocco Ciciretti, Ambrogio Dalò
• Value Creation and sustainable business model
  Rosella Castellano
• Firms’ profitability and ESG score: a machine learning approach
  Susanna Levantesi, Rita D'Ecclesia, Valeria D Amato