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International Risk Management Conference 2017 “Assessing 10 Years of Changes in the Financial Markets: How will the Future be Impacted?” Main Sponsor Silver Sponsor Supporting Sponsor IRMC2017 International Risk Management Conference Partner Florence, June 12 - 14, 2017 2 IRMC 2017 Organizing Commitees 3 Permanent Conference Chairmen: Edward Altman NYU Stern Oliviero Roggi University of Florence Monday morning, June 12 Conference Consultants: Maurizio Dallocchio Bocconi University Giorgio Bertinetti University of Venice Herbert Rijken VU University Amsterdam Riccardo De Lisa University of Cagliari and FITD Torben Juul Andersen Copenhagen Business School Małgorzata Iwanicz-Drozdowska Warsaw School of Economics Cosimo Pacciani European Stability Mechanism Host Institution Dan Galai The Hebrew University of Jerusalem University of Florence Zvi Wiener The Hebrew University of Jerusalem Social Science Campus Academic Coordination: Workshop Host Institution Oliviero Roggi University of Florence European University Institute Florence School of Banking and Finance Permanent Scientific Committee: Chairman: Menachem Brenner New York University - Stern Room D6.018 - Ground Floor Time 11.15-13.15 Conference Venue Edward Altman New York University - Stern University of Florence Viral Acharya New York University - Stern Social Science Campus - Building D6, Ground Floor Torben J. Andersen Copenhagen Business School Via delle Pandette, 9 - 50127 Florence, Italy Annarita Bacinello University of Trieste Giorgio Bertinetti University of Venice Workshop Venue Marco Bigelli University of Bologna European University Institute Zvi Bodie Boston University Badia Fiesolana Menachem Brenner New York Univerity - Stern Via dei Roccettni, 9 Lorenzo Caprio University Cattolica 50014 San Domenico, Fiesole - Florence Alessandro Carretta University of Rome - Tor Vergata Room D6.018 - Ground Floor Time 11.15-13.15 Maurizio Dallocchio Bocconi University Conference Management Riccardo De Lisa University of Cagliari The Risk Banking and Finance Society Franco Fiordelisi University of Rome Tre Tel + 39 0552759720 Dan Galai The Hebrew University of Jerusalem [email protected] Małgorzata Iwanicz-Drozdowska Warsaw School of Economics www.therisksociety.com Elisa Luciano University of Turin Mario Massari Bocconi University Stefano Miani University of Udine Loriana Pelizzon University of Venice “Assessing 10 Years of Changes in the Financial Markets: Herbert Rijken VU of Amsterdam How will the Future be Impacted?” Andrea Resti Bocconi University Oliviero Roggi University of Florence After the ninth successful edition in Jerusalem, Israel, the IRMC permanent organizers (University Francesco Saita Bocconi University of Florence, NYU Stern Salomon Center) in collaboration with the European University Institute, Wim Schoutens University of Leuven the University of Udine and ADEIMF invite you to join the 10th Celebrative Edition of the Inter- Anthony Saunders New York University - Stern national Risk Management Conference in Florence, Italy, June 12-14, 2017. The conference will Marti Subrahmanyam New York University - Stern Zvi Wiener Hebrew University of Jerusalem Monday morning, June 12 bring together leading experts from various academic disciplines and professionals for a two and a half days conference including 4 keynote plenary sessions, 4 parallel featured sessions and a William Ziemba University of British Columbia professional workshop, jointly organized with the European University Institute, Florence School of Banking and Finance. 4 5 The conference will feature presentations from well-known and distinguished academics, IRMC conference Mission practitioners and regulators including: Monday morning, June 12 The mission of the conference is to provide a professional forum to discuss recent advances in Edward Altman NYU Stern School of Business risk management. Davide Alfonsi Intesa Sanpaolo IRMC aims to present the latest research from the major schools of thought in finance, economics Linda Allen City University of New York and banking. Giovanni Barone-Adesi Swiss Finance Institute Menachem Brenner NYU Stern School of Business Francesca Campolongo Joint Research Centre - European Commission Santiago Carbo-Valverde Bangor Business School and Editor-in-Chief of the Journal of Financial Management, Markets and Institutions Michel Dacorogna DEAR Consulting Federico Galizia Inter-American Development Bank Michael Gordy Federal Reserve and Co-Editor-in-Chief of the Journal of Credit Risk Our perspective about risk Giuseppe Lusignani University of Bologna and Prometeia Massimo Marchesi European Commission The Conference’s objective is to present the latest theories and tools developed in the risk Mario Nava European Commission management field. Since risk is a multifaceted concept, the Conference treats it from many Cosimo Pacciani European Stability Mechanism Bruna Szego Bank of Italy different viewpoints. NYU Stern School of Business Room D6.018 - Ground Floor Time 11.15-13.15 Banking addresses the issue of financial stability and of setting up appropriate risk capital David Yermack S&P Global Market Intelligence requirements. Moreover, research in this field includes risk measurement in the banking sector Cristiano Zazzara William Ziemba University of British Columbia and investigates the impact of risk on portfolio selection and performance. Corporate Finance investigates the role of risk in firms’ value maximization and studies risk mitigation strategies. The parallel sessions are organized around the following headings: Quantitative Risk Management specifically addresses risk measurement, with several applications in financial and non-financial companies. A1. Banking and financial regulation C1. Banking and financial intermediation A2. Systemic risk C2. Bond markets A3. Banking and risk taking C3. Quantitative methods in risk management A4. Risk management in financial markets C4. Banking system and Basel III A5. Credit risk management and markets C5. Financial markets and derivatives A6. Corporate governance in banking C6. Quantitative methods in risk management Room D6.018 - Ground Floor Time 11.15-13.15 B1. Liquidity in banking and financial markets D1. Corporate finance and financial markets B2. Banking and financial intermediation D2. Banking and risk taking B3. Corporate financial and financial markets D3. Risk management in financial markets Letter from the Permanent Organizers B4. Macro risks, monetary policy and interest rate risk D4. Banking system and financial regulation B5. Corporate finance and risk management D5. Credit risk and PD modeling Welcome to the 10th celebrative edition of International Risk Management Conference B6. Behavioral finance and FinTech D6. Banking system and financial regulation 2017. We are delighted that you decided to join us this year in Florence and participate in numerous presentations and discussions about the topical conference theme: “Assessing The permanent coordinating institutions, the University of Florence and NYU Stern’s Salomon Center, 10 Years of Changes in the Financial Markets: How will the Future be Impacted?" The together with this conference’s co-organizers, the European University Institute and the University of conference features a large number of leading international experts who will speak about Udine, look forward to welcoming the guests to IRMC 2017 activities, which also include a gala event the conference theme and will challenge us in a series of keynote speeches and featured that hopefully will create nice memories of a wonderful experience in Florence for all. lectures. It also brings together dedicated researchers from leading academic, major corporate and financial institutions in both scholarly sessions and professional workshops With best wishes from the permanent Conference Coordinators: and a round table discussion on topics of current practical relevance. The Professional Workshop will take place on June 13, featuring prominent speakers dealing on the subject of prospective financial regulation. It will be followed by a round table Monday morning, June 12 discussion among distinguished executives of Italian and European financial institutions that outline practical responses to the challenging economic conditions. Edward Altman Oliviero Roggi NYU Stern University of Florence 6 Summary 7 Conference Schedule Details 8 Parallel Sessions Schedule 12 Monday morning, June 12 IRMC Previous Editions 16 Conference Keynotes and Speakers Bios 19 Workshop Program 24 Workshop Keynotes and Speakers Bios 25 Achievements and Publication Opportunities 29 Parallel Session Abstracts 35 A1. Banking and financial regulation 36 A2. Systemic risk 38 A3. Banking and risk taking 40 A4. Risk management in financial markets 42 The Risk, Banking and Finance Society A5. Credit risk management and markets 44 A6. Corporate governance in banking 46 Room D6.018 - Ground Floor Time 11.15-13.15 The main objective of The Risk Banking and Finance Society is to promote the creation and exchange of knowledge about risk, banking and finance by establishing and developing a com- B1. Liquidity in banking and financial markets 48 munity of academics and practitioners interested in these subjects. B2. Banking and financial intermediation 50 The Society promotes and carries out theoretical and applied research in the economics and B3. Corporate finance and financial markets 52 finance field, specifically regarding the identification, assessment and treatment of corporate, bank, national and systematic risks. It organizes
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