Program for stream OR in Banking, Finance and Insurance: New Tools for Risk Management

MA-63: Applications in Finance and Economics
Stream: OR in Banking, Finance and Insurance: New Tools for Risk Management
Room: S14 (building: 101)
Chair(s): Francesco Biancalani

• Effect of the Inflation Reduction Act on Equity Raised Values in the US Healthcare Macro-Sector: A Matrix-Completion Approach
  Francesco Biancalani, Giorgio Gnecco, Andrea Signori, Silvio Vismara
• Impact of Sentiment analysis on Energy Sector Stock Prices : A FinBERT Approach
  Rania HENTATI KAFFEL, Sarra Ben Yahia, José Ángel GARCÍA SÁNCHEZ
• Copula-based synthetic networks generation
  Giulia Rotundo, Roy Cerqueti
• An analytical study of variable annuities with surrender option
  Gabriele Stabile, Alessandro Milazzo, Tiziano De Angelis

MB-63: Insurance Risk Management
Stream: OR in Banking, Finance and Insurance: New Tools for Risk Management
Room: S14 (building: 101)
Chair(s): Susanna Levantesi

• Well-being horizons for silver and golden ages: An application of traditional and fuzzy Markov chains
  QI GUO, Irene Albarran, Pablo Jesús Alonso-González, Aurea Grané
• A beta binomial approach for the estimate of surrender rates by GAMLSS
  Davide Biancalana, Fabio Baione
• Utility based evaluation of Reverse Mortgages
  Gabriella Piscopo
• Sustainability risks affecting solvency ratios for insurance companies
  Susanna Levantesi, Rita D'Ecclesia, Alessandro Dorazio, Kevyn Stefanelli

MC-63: Natural Resource Management and Commodity Markets
Stream: OR in Banking, Finance and Insurance: New Tools for Risk Management
Room: S14 (building: 101)
Chair(s): Isabel Figuerola-Ferretti

• EU ETS Market Expectations and Rational Bubbles
  Christoph Wegener
• Water as a commodity in hydropower generation
  Isabel Figuerola-Ferretti, Eduardo Schwartz
• Risk Management for Aquaculture Businesses in the Presence of Multiple Risk Sources
  Christian Oliver Ewald
• The Role of Investor Sentiment in Commodity Price Behavior: Clarifying Evidence Based On Time-Varying Causality Tests
  Roderick McCrorie, Mario Lupoli

MD-63: Optimization Model for Novel Risks in Finance and Climate
Stream: OR in Banking, Finance and Insurance: New Tools for Risk Management
Room: S14 (building: 101)
Chair(s): Nikolas Topaloglou

• Climate transition risk to sovereign debt sustainability
  Veronica Mammetti, Giacomo Morelli, Stavros A. Zenios
• An explanation of under-diversification puzzles through ambiguity tastes and beliefs
  Stavros A. Zenios, Somayyeh Lotfi
• Recent Results in Contextual Portfolio Optimization
  Roy Kwon, Andrew Butler

TA-63: Models for Financial Data and Risk Management
Stream: OR in Banking, Finance and Insurance: New Tools for Risk Management
Room: S14 (building: 101)
Chair(s): Alessandro Mazzoccoli

• Detecting patterns in financial data through time-frequency domain clustering
  Francesca Fortuna
• Wavelet-Entropy Risk-Predictability Measure for financial time series
  Alessandro Mazzoccoli, Loretta Mastroeni
• Waveform Dictionary Matching Pursuit for Denoising Step Function Signals in Finance
  Pierluigi Vellucci
• Corporate Sustainability Committment and marker risk
  Rita D'Ecclesia, Kevyn Stefanelli, Susanna Levantesi

TB-63: Risk Management and Cryptoassets
Stream: OR in Banking, Finance and Insurance: New Tools for Risk Management
Room: S14 (building: 101)
Chair(s): Gianna Figà-Talamanca, Giacomo Gaggero

• Pricing Options with a Compound CARMA(p,q)-Hawkes model
  Andrea Perchiazzo, Lorenzo Mercuri, Edit Rroji
• Forecasting the worst: is implied volatility forward-looking enough?
  Carlo Confalonieri, Paola De Vincentiis
• Value-at-Risk of an Option Portfolio Under Different Scenarios. A Proposal of a More Reliable Market Measure
  Giacomo Gaggero, Pier Giuseppe Giribone, Duccio Martelli, Sanmoy Mukherjee
• A Bayesian Hierarchical Approach to Analyze the Heterogeneous Influence of Banking Risk on Cost Efficiency
  Pilar Gargallo, Manuel Salvador

TC-63: Advanced Options Strategies Using O.R. and Machine Learning
Stream: OR in Banking, Finance and Insurance: New Tools for Risk Management
Room: S14 (building: 101)
Chair(s): Ilkay Boduroglu

• A Machine Learning Model for Options Traders that Predicts the Magnitude but not the Direction of Post-Earnings Stock Price Jumps
  Ilkay Boduroglu
• Creating Optimal Speculative Portfolios for 0-DTE (Zero-Days-To-Expire) SPY Options
  Yusufcan Ozkan, Ilkay Boduroglu
• Deep learning-based allocation for financial strategy replication in incomplete market.
  Johan Macq, Yannick Malevergne, Marc Senneret, Patrice Abry
• Portfolio Optimization and Parameter Uncertainty
  Anton Vorobets

TD-02: New Tools in Insurance Risk Management
Stream: OR in Banking, Finance and Insurance: New Tools for Risk Management
Room: Glassalen (building: 101)
Chair(s): Massimiliano Menzietti, Giorgio Rizzini, Rita D'Ecclesia

• Modelling and pricing of multi-region catastrophe bonds
  Krzysztof Burnecki
• Ruin probability of the insurer-reinsurer quota-share model with phase-type distributed claims
  Marek Teuerle
• Explainable AI methods for early warning system of financial crisis prediction
  Jurgita Cerneviciene, Audrius Kabasinskas
• Modelling shock propagation and resilience in financial temporal networks
  Giorgio Rizzini, Fabrizio Lillo

TD-63: New Challenges for Risk Management
Stream: OR in Banking, Finance and Insurance: New Tools for Risk Management
Room: S14 (building: 101)
Chair(s): Mariacristina Uberti, Simone Landini

• The estimation risk under the IRB approach: an analytic way-out
  Simone Casellina, Simone Landini, Mariacristina Uberti, Patrick Zoi
• Financing the circular economy: effects on bank risk management
  Nadia Ricci, Caterina Lucarelli, Pietro Vozzella
• Evolution of IRB models through new data sources and machine learning
  Federico Avataneo
• On the Adverse Selection in longevity risk Transfer
  Valeria D Amato, Maria Carannante, Massimiliano Menzietti, Steven Haberman

WA-02: New Advances in Italian Energy Markets
Stream: OR in Banking, Finance and Insurance: New Tools for Risk Management
Room: Glassalen (building: 101)
Chair(s): Cristian Pelizzari

• Is storage a business? A test on the Italian day-ahead electricity market
  Stefano Zedda, Simone Sbaraglia, Alessandro Fiori Maccioni
• Optimizing hydro-pumping plants management in the new storage market
  Diana Tratta, Paolo Falbo, Carlo Filippi
• Efficient Incentive Policies of Renewable Energy Communities
  Alessandra Ruffini, Paolo Falbo, Carlos Ruiz

WA-63: Novel Optimization Models in Finance
Stream: OR in Banking, Finance and Insurance: New Tools for Risk Management
Room: S14 (building: 101)
Chair(s): Stavros A. Zenios

• Tran2SP: Transformer-based Two-Stage Stochastic Programming
  Woo Chang Kim
• Reinforcement Learning for Portfolio Optimization in a Regime-Switching Model
  David Saunders
• Sparse spanning portfolios and under-diversification with second-order stochastic dominance
  Nikolas Topaloglou, Stelios Arvanitis, Olivier Scaillet
• RATIONAL REACTION TO IRRATIONAL BEHAVIOR
  Jorgen-Vitting Andersen

WB-02: Optimal Portfolio Strategies
Stream: OR in Banking, Finance and Insurance: New Tools for Risk Management
Room: Glassalen (building: 101)
Chair(s): Mattia Margonari

• Risk-Sensitive Control in Portfolio Choice: Incorporating Ambiguity Aversion and Stochastic Factors
  Chi Chung Siu, Guiyuan Ma, Dantong Chu, Wai Leong Ng
• A deep learning approach to forecasting commodity prices
  Hayette Gatfaoui
• Venture Capital: Drivers of Growth
  Mattia Margonari

WB-63: Risk Management in Private and Public Finance
Stream: OR in Banking, Finance and Insurance: New Tools for Risk Management
Room: S14 (building: 101)
Chair(s): Loretta Mastroeni

• Security Breach Probability Models
  Maurizio Naldi
• LHP approximation for green-loan credit portfolios under skewed and heavy-tails returns
  Alessandro Ramponi
• RISK MANAGEMENT ISSUES IN CURRENT ENERGY CONTEXT
  Ivan De Crescenzo
• Systemic resilience of networked commodities
  Roy Cerqueti

WC-02: Portfolio Optimization: Models and Methods
Stream: OR in Banking, Finance and Insurance: New Tools for Risk Management
Room: Glassalen (building: 101)
Chair(s): Roy Cerqueti

• Optimal portfolios' weights and rank-size shapes
  Alessio Di Paolo, Roy Cerqueti, Francesco Cesarone, Valerio Ficcadenti
• Tracking-based green portfolio optimization
  Diana Barro, Marco Corazza, Gianni Filograsso
• Managing ESG Ratings Disagreement in Sustainable Portfolio Selection
  Manuel Luis Martino
• Stabilizing financial networks via mergers and acquisitions
  Markku Kallio, Aien khabazian

WC-63: Applications to Economics and Finance
Stream: OR in Banking, Finance and Insurance: New Tools for Risk Management
Room: S14 (building: 101)
Chair(s): Stavros A. Zenios

• A Market-based Calibration of Capital Requirements
  Andrea Consiglio, Mahmoud Fatouh, Simone Giansante
• Does Sovereign Debt Consolidation Shape Firms’ Credit Cost?
  Claire Economidou
• Achieving robustness by searching for the right amount of shrinkage in minimum variance portfolios
  Xiang Zhao, Selin Ahipasaoglu
• Gender as a tool for diversification
  Ana Escribano, Antonio Díaz, Rocio Hidalgo

WD-63: Complexity and Financial Patterns
Stream: OR in Banking, Finance and Insurance: New Tools for Risk Management
Room: S14 (building: 101)
Chair(s): Roy Cerqueti

• Volatility of Stock Market Aggregate Volatility (VoV) Forecast Based on Cross-Sectional Intrinsic Entropy’s Volatility Estimates
  Claudiu Vinte, Marcel Ausloos, Bogdan Iftimie
• Balance in financial signed networks: a new systemic risk measure
  Rosanna Grassi, Paolo Bartesaghi, Fernando Diaz-Diaz, Pierpaolo Uberti
• Are digital entrepreneurial ecosystems resilient to external perturbations? A pre- and post-pandemic empirical analysis
  Antonio Iovanella
• FICO Decision Optimizer – Generating predictive models with Action Effect
  Claudio Gambella, Livio Bertacco, Sebastien Lannez, Ben Willcocks, Brendan del Favero, Ryan Weber