Beibei Yan (Shanghai University) will give a presentation on Value-relevance of crowdfunding risk factors topology: A topic modeling approach  

Sophie Moinas will give a presentation on Intermittent power generation and risk premia on electricity futures markets Abstract: We investigate the hidden financial costs of the increase in the share of intermittent renewable power generation in the electricity production mix.

Arturo Leccadito (University of Calabria) will give a presentation on Predictive identification robust confidence sets with application to tail risk measures Abstract: This work proposes a novel method for constructing confidence sets for predictions in parametric or semi-parametric models, that are valid for out-of-sample inference and are identification-robust.

  Louvain Finance Day – May 17th, 2023   The 2023 edition of the Louvain Finance Day will be dedicated to the role finance in view of the forthcoming climate and energy challenges.   Please find here the detailed programme or download the programme (PDF).   Jean Boissinot Banque de France Marie Cavitte FNRS & UCLouvain

Tiziano Bellini (Prometeia) Model Risk Quantification in Commercial Banking: A Statistical Framework Abstract : A framework for quantifying model risks in commercial banking is proposed. Model Uncertainty is investigated from different angles with the aim to capture risks stemming from the model itself as well as its interaction with wider frameworks.

Wolfgang Lemke (European Central Bank) will give a presentation on Natural rate chimera and bond pricing reality Abstract :  We build a novel macro-finance model that combines a semi-structural macroeconomic module with arbitrage-free yield-curve dynamics.

The 17th meeting of the Belgian Financial Research Forum (BFRF) will take place at the National Bank of Belgium in Brussels (Belgium) on April 20-21, 2023.

Sicong (Allen) Li, London Business School will give a presentation on Asset-Pricing Factors with Economic Targets Abstract: We propose a method to estimate latent asset-pricing factors that incorporates economically motivated targets for both cross-sectional and time-series properties of the factors.

Farah Mugrabi (UCLouvain) will give a presentation on Detecting and dating possibly distinct structural breaks in the covariance structure of financial assets Abstract: This paper aims to identify and date contagion by accounting for possibly distinct structural breaks among the covariance structure of financial assets.

Nestor Parolya, Delft University will give a presentation on Two is better than one: Regularized shrinkage of large minimum variance portfolios Abstract: In this paper we construct a shrinkage estimator of the global minimum variance (GMV) portfolio by a combination of two techniques: Tikhonov regularization and direct shrinkage of portfolio weights.