View the program in our Progressive Web App
Program for stream OR in Banking, Finance and Insurance: New Tools for Risk Management
Sunday
Monday
Monday, 8:30-10:00
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
Monday, 10:30-12:00
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
Monday, 12:30-14:00
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
Monday, 14:30-16:00
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
Tuesday
Tuesday, 8:30-10:00
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
Tuesday, 10:30-12:00
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
Tuesday, 12:30-14:00
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
Tuesday, 14:30-16:00
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
Wednesday
Wednesday, 8:30-10:00
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
Wednesday, 10:30-12:00
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
Wednesday, 12:30-14:00
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
Wednesday, 14:30-16:00
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