GRETA Associati (Venice, Italy), Algorand Foundation (Republic of Singapore), CRIF (Bologna, Italy), European Datawarehouse (Frankfurt, Germany), European Investment Bank (Luxembourg),  European Investment Fund (Luxembourg) and Intesa Sanpaolo (Milan, Italy) are co-sponsors of a Conference to be held in Venice on September 22-23, 2022.

The Conference CREDIT 2022 will bring together academics, practitioners and PhD students working in various areas of financial and credit risk with the aim to create a unique opportunity for participants to discuss research progress and policy and industry-relevant insights as well as directions for future research. 

CREDIT 2022 is the twenty-first in a series of events dedicated to various aspects of credit risk and organised under the auspices of the Department of Economics and VERA – Venice centre in Economic and Risk Analytics for public policies - of the Ca' Foscari University of Venice, ABI - Italian Banking Association, AIAF - Associazione Italiana per l'Analisi Finanziaria, and AIFIRM - Associazione Italiana Financial Industry Risk Managers.

8.30 Registration

09.15 Session I – CLIMATE RISK PRICING AND HEDGING

• Invited Talk: TBA - Robert F. Engle, New York University
• A Quantity-Based Approach to Constructing Climate Risk Hedge Portfolios - Stefano Giglio, Yale School of Management, New Haven
• Climate Linkers: Rationale and Pricing - Jean-Paul Renne, University of Lausanne (join with Pauline Chikhani)

11.00 Coffee break

11.30  Session II – CLIMATE CHANGE AND FINANCIAL STABILITY

• The Shifts and the Shocks: Bank Risk, Leverage, and the Macroeconomy - Dmitry Kuvshinov, Pompeu Fabra University, Barcelona (join with Björn Richter and Kaspar Zimmermann)
• Asset-level Climate Physical Risk Assessment and Cascading Financial Losses - Giacomo Bressan, Vienna University of Economics and Business (join with Anja Duranovic, Irene Monasterolo and Stefano Battiston)
• Accounting for Climate Transition Risk in Banks’ Capital Requirements - Lucia Alessi, European Commission - Joint Research Centre (join with Erica Francesca Di Girolamo, Andrea Pagano and Marco Petracco Giudici)

13.00 Lunch

14.15 Session III – DISCLOSURE AND ESG INFORMATION

• Invited Talk: TBA - Lucrezia Reichlin, London Business School
• TBA - Massimo Morini, Algorand Foundation, Singapore
• Dynamic ESG Equilibrium - Andrea Tarelli, Catholic University, Milan (join with Doron Avramov, Abraham Lioui, Yang Liu)

16.30 Coffee break and POSTER SESSION I

17.15 Session IV – GREEN SECURITIES

• The Optimal Design of Green Securities - Adelina Barbalau, University of Alberta, Edmonton (join with Federica Zeni)
• Borrower ESG Risks and ESG Disclosure and COST of Loan - Yaorong Liu, University of Edinburgh Business School (join with Yi Cao and Yizhe Dong)
• When Green Meets Green - Roman Goncharenko, KU Leuven, Brussels (join with Hans Degryse, Carola Theunisz and Tamas Vadasz)

09.00 Session V – LONG RUN RISK IN A MACRO PERSPECTIVE

• Invited Talk: The CO2 Question: Technical Progress and the Climate Crisis - Marcin Kacperczyk, Imperial College London
• A Preferred Habitat Model of Repo Specialness - Marti G. Subrahmanyam, New York University (join with Ruggero Jappelli and Loriana Pelizzon)
• Macro Trends and Factor Timing - Alessandro Melone, Vienna Graduate School of Finance (join with Carlo A. Favero and Andrea Tamoni)

10.45 Coffee break

11.15 PANEL Session 1 – LONG RUN RISKS AND THEIR IMPLICATIONS FOR THE BANKING, INSURANCE AND FINANCIAL SECTORS

13.00 Lunch

• Environmental Regulatory Risks, Firm Pollution, and Mutual Funds’ Portfolio Choices - Simon Xu, University of California at Berkeley
• Climate Change and Long-Horizon Portfolio Choice: Combining Insights from Theory and Empirics - Mathijs Cosemans, Erasmus University, Rotterdam (join with Xander Hut and Mathijs van Dijk)
• Long Horizon Multifactor Investing with Reinforcement Learning - Ruslan Goyenko, McGill University & Financial Innovations and Risk Management Labs, Montréal (join with Chengyu Zhang)

15.45 Coffee break and POSTER SESSION II