9 h 00

Accueil des participants

Session I 

9 h 15

Marielle de Jong (Amundi)

Portfolio optimisation in an uncertain world

Discutant : Ophélie Couperier

9 h 50

Olessia Caillé (LEO), Daria Onori (LEO)

Conditional Risk-Based Portfolio

Discutant : Marielle de Jong

10 h 25

Christophe Hurlin (LEO, U. Orléans), Jérémy Leymarie (LEO, U. Orléans), Antoine Patin (LEO, U. Orléans)

Loss functions for LGD model comparison

Discutant : Rachidi Kotchoni

11 h 00

Pause

11 h 20

Michael Abendschein (U. Osnabrueck), Gibran Watfe (European Central Bank, College of Europe)

From Cashtag to Hashcrash Predicting Financial Market Volatility with Twitter

Discutant : Bilel Sanhaji

11 h 55

Sophie Béreau (CORE & LFIN, U. Catholique de Louvain), Nicolas Debarsy (LEM, U. Lille 1), Cyrille Dossougoin (CORE LFIN, U. Catholique de Louvain), Jean-Yves Gnabo (CeReFiM, U. Namur)

Spillover analysis across financial institutions: the role of common asset holdings

Discutant : Dilyara Salakhova 

12 h30

Apéritif – Buffet – Poster session

Session II 

13 h 45

Keynote speaker: Christophe Hurlin (LEO)

Recherche reproductible. Le projet CASCAD (Certification Agency for Scientific Code and Data)

14 h 30

Kim Huynh (Bank of Canada), Hossein Kavand (Carleton U.), Marcel Voia (Carleton U.)

Up or out! A Firm’s First Year and Unobserved Initial Condition of Entrant Shipbuilding Firms

Discutant : Jérémy Leymarie

15 h 05

Clément Goulet (U. Paris 1)

Intra-industry volatility spillovers around Earning Announcements.

Discutant : Francesco Violante

15 h 40

Pause

16 h 00

Sullivan Hue (U. Orléans), Christophe Hurlin (LEO, U. Orléans), Sessi Tokpavi (LEO, U. Orléans)

Machine Learning for Credit Scoring: Improving Logistic Regression with Non Linear Decision Tree Effects

Discutant : Thomas Raffinot

16 h 35

Alessio Volpicella (Queen Mary University of London)

Selection of Prior Tightness for Set-Identified Structural Vector Autoregressions

Discutant : Benjamin Egron

17 h 05

Maxime Leroux (UQAM), Rachidi Kotchoni (EconomiX-CNRS), Dalibor Stevanovic (UQAM)

Macroeconomic forecast accuracy in a data-rich environment

Discutant : Marc Joëts