Program for stream Risk Management in Commodities and Financial Markets

TC-07: Portfolio Risk Management
Stream: Risk Management in Commodities and Financial Markets
Room: Clarendon GR.01
Chair(s): David Neděla

• Applicability of intraday entropy for high-frequency trading eliminating overnight anomaly
  David Neděla, Aleš Kresta
• Exploring Determinants of Dynamic Stochastic Dominance Ratios: A Causal Approach Using Explainable AI
  Jurgita Cerneviciene, Audrius Kabasinskas, Milos Kopa
• Optimizing high and low ESG portfolios with DCC-GARCH models and graph theory
  Pilar Gargallo, Manuel Salvador, Jesús Miguel, Luis Lample

TD-07: Quantitative methods for systemic and climate risk
Stream: Risk Management in Commodities and Financial Markets
Room: Clarendon GR.01
Chair(s): Gabriele Torri

• From reputational risk to contagion risk in ESG-ranked equity mutual funds
  Francesco Morelli, Rocco Ciciretti, Marco Nicolosi
• Using Causal Inference to Assess the Value of Dual Sourcing
  Thomas De Backker
• Pricing of synthetic CDOs with infectious defaults and market based measures of systemic risk
  Gabriele Torri, Rosella Giacometti, Gianluca Farina
• Improving portfolio optimization with ESG disagreement information.
  Marco Bonomelli

WA-07: Understanding and Measuring Risk: Macroeconomic and Financial Perspectives
Stream: Risk Management in Commodities and Financial Markets
Room: Clarendon GR.01
Chair(s): Elena Diaz

• Delist or not to delist? A capital access perspective
  Lucia Ludovici, Rita D'Ecclesia, Gianluca Vagnani
• How bad is myopia for a mean-variance investor?
  Jinye Du, Zhongfei Li, Moris Strub
• The Role of Regulation in Accelerating the Full Transition from Fossil Fuels
  ioannis paraskevopoulos
• Disentangling oil price uncertainty
  Elena Diaz, Juncal Cuñado, Fernando Perez de Gracia

WB-07: Portfolio Management
Stream: Risk Management in Commodities and Financial Markets
Room: Clarendon GR.01
Chair(s): Davide Radi

• Path Dependent Arbitrage Portfolio Strategies
  Denise Mirabella, Sergio Ortobelli Lozza, Valentina Piantoni
• Critical Infrastructure Resilience Assessment Using an Integrated HFACS-FMEA Model
  James Liou, Tzu-Yu Lai, Chao-Che Hsu
• A multi-asset pricing model with climate financial risks
  Davide Radi

WC-07: Power Trading
Stream: Risk Management in Commodities and Financial Markets
Room: Clarendon GR.01
Chair(s): David Wozabal

• BESS Optimization and the Value of Intraday Electricity Price Forecasts
  Simon Hirsch, David Schaurecker, David Wozabal
• The Rolling Intrinsic Strategy in High-Frequency Intraday Electricity Trading for a Battery as a Dynamic Program
  David Schaurecker, David Wozabal
• Geopolitical Risks, Critical Materials and Energy Transition: Insights from Wavelet Analysis
  Ivan De Crescenzo, Loretta Mastroeni, Alessandro Mazzoccoli
• A joint bidding strategy for battery operating on intraday and frequency reserve markets
  David Wozabal, Wolfgang Riddinger, Yiming Zhang

WD-07: Sustainable investments and financial performance
Stream: Risk Management in Commodities and Financial Markets
Room: Clarendon GR.01
Chair(s): Kevyn Stefanelli

• Do ESG Factors Influence the Financial Performance of Financial Institutions? The Case of London as a Global Financial Center
  Raminta Vaitiekuniene
• How Generative AI is Revolutionizing Stock Market Predictions in Emerging Markets
  Mabutho Sibanda
• Country Policy Drives Companies' Sustainability
  Sergio Hoffmann, Rita D'Ecclesia
• Network-Based Risk Identification in the Copper Supply Chain: A Firm-Level Analysis with Financial Performance Case Studies
  Qiyan Liu, Peter Adriaens