18^th INTERNATIONAL CONFERENCE

CREDIT 2019

Assessing and Managing Climate Change Risk:

Opportunities for Financial Institutions

Venice, Italy

26 –27 September 2019

GRETA Associati (Venice, Italy), European DataWarehouse (Frankfurt am Main, Germany), Intesa Sanpaolo (Milan, Italy) and S&P Global Market Intelligence (London, UK) are co-sponsors of a Conference to be held in Venice on September 26-27, 2019. The objective of the Conference is to bring together academics, practitioners and Ph.D. students working in the area of risk management. The conference will provide an opportunity for participants engaged in research at the forefront of this area to discuss both the causes and implications of recent financial and atmospheric events and may, in turn, suggest fruitful directions for future research. The Conference, organised under the auspices of the Department of Economics of the University Ca’ Foscari of Venice, ABI - Italian Banking Association, AIAF - Associazione Italiana per l'Analisi Finanziaria (Milan, Italy) and the Joint Research Center, European Commission (Ispra, Italy), is the eighteenth of a series dedicated to various aspects of credit risk.

The adoption of the Paris Agreement on climate change and the UN 2030 Agenda for Sustainable Development marks a historical international commitment to the objective of a more sustainable economy and society. How to mobilise the necessary financing for green and sustainable investments is thus a primary need.

Meanwhile, Regulators are discussing about a green-supporting or a brown-penalising factor since they want to make sure financial institutions are prepared. It is to find the way to support sustainable investments but it is primarily a discussion about credit risk.

The banking and insurance industries and more in general the financial sector has to develop new asset management strategies and to adjust their credit allocation practices to cope with these new challenges and take advantage of the new opportunities. All these changes call for a substantial amount of research to improve the knowledge of the mechanisms at play and to design adapted policy tools.

The SCIENTIFIC COMMITTEE consists of:

·        Carlo Carraro (Ca’ Foscari University of Venice & CMCC, Programme Chair)

·        Stefano Battiston (University of Zurich)

·        Monica Billio (Ca’ Foscari University of Venice & GRETA)

·        Francesca Campolongo (Joint Research Center, European Commission)

·        Robert Engle (New York University)

·        Thomas Heller (Climate Policy Initiative & Stanford University)

·        Andreas Hoepner (University College Dublin)

·        Steven Ongena (University of Zurich, Swiss Finance Institute, KU Leuven & CEPR)

·        Stephen Schaefer (London Business School)

·        Cristiano Zazzara (S&P Global Market Intelligence, New York)

PROGRAMME

Thursday, September 26 2019

08.30 - 09.00 Registration

09.00 - 09.15 Welcome: Michele Bugliesi (Rector, Ca’ Foscari University of Venice)

 Opening Remarks: Carlo Carraro (Ca’ Foscari University of Venice & CMCC, Programme Chair)

09.15 - 11.00 Session I: BANKS AND CREDIT RISK

Chairman: Monica Billio (Ca’ Foscari University of Venice & GRETA)

•        Key-note talk: Banks and Climate Risk, Til Schuermann (Oliver Wyman, New York)

•        Climate Change and Credit Risk, Giusy Capasso (Bocconi University) and Gianfranco Gianfrate (EDHEC Business School, Nice) - Discussant: Roberto Panzica (European Commission)

•        Relaxing Credit Constraints: Credit Risk, Financial Intermediation Quality, and Environmental Impact, Ashay Kadam (Indian Institute of Management at Udaipur) and Magdalena Pisa (WHU - Otto Beisheim School of Management) - Discussant: Andrea Giacomelli (Knowshape, Venice)

11.30 - 13.15 Session II: CLIMATE RISK AND EQUITY MARKETS

Chairman: Carlo Carraro (Ca’ Foscari University of Venice & CMCC, Programme Chair)

•        Key-note talk: New Results on Sustainable Investing, Robert Engle (New York University)

•        Climate Risks and Stock Returns, Eugenio Carnemolla (University of Lausanne) and Giuseppe Vinci (Rice University, Houston) - Discussant: Massimiliano Caporin (University of Padua)

•        Investor Ownership and Carbon-Intensive Stocks: Who Holds the Carbon Risk Bomb?, Lukas Benz (University of Augsburg), Stefan Paulus (University of Augsburg), Julia Scherer (University of Augsburg), Janik Syryca (University of Augsburg) and Stefan Trück (Macquarie University, Sidney) - Discussant: Thomas Heller (Climate Policy Initiative & Stanford University)

14.15 - 15.45 Session III: CLIMATE POLICY RISK

Chairman: Reinhard Harry Schmidt (SAFE - Goethe University Frankfurt)

•        Being Stranded with Fossil Fuel Reserves? Climate Policy Risk and the Pricing of Bank Loans, Manthos D. Delis (Montpellier Business School), Kathrin de Greiff (University of Zurich & Swiss Finance Institute) and Steven Ongena (University of Zurich, Swiss Finance Institute, KU Leuven & CEPR) - Discussant: Cristiano Zazzara (S&P Global Market Intelligence, London)

•        Assessing Sustainable Finance Policies Via a Stock-flow Consistent Macro Model with Portfolio Choice, Nepomuk Dunz (Wirtschaftsuniversität Wien), Irene Monasterolo (Wirtschaftsuniversität Wien) and Marco Raberto (University of Genoa) - Discussant: Carlo Giupponi (Ca’ Foscari University of Venice)

•        Carbon Pricing Paths to a Greener Future and Potential Roadblocks to Public Companies Credit-Worthiness, Giorgio Baldassarri Höger von Högersthal (S&P Global Market Intelligence, London), Arsene Lui (S&P Global Market Intelligence, London), Hrvoje Tomicic (S&P Global Market Intelligence, London), Luka Vidovic (S&P Global Market Intelligence, London) and Cristiano Zazzara (S&P Global Market Intelligence, London) - Discussant: Anant K. Sundaram (Dartmouth College)

15.45 - 16.30 POSTER SESSION

16.30 - 18.15 Session IV: CLIMATE CHANGE AND ASSET PRICES

Chairman: Stephen Schaefer (London Business School)

•        Key-note talk: ESG Engagement and Downside Risk, Andreas Hoepner (University College Dublin)

•        Is Firm-level Clean or Dirty Innovation Valued More?, Antoine Dechezleprêtre (London School of Economics), Cal B. Muckley (University College Dublin) and Parvati Neelakantan (University College Dublin) - Discussant: Marti G. Subrahmanyam (New York University)

•        ESG and Corporate Credit Spreads, Florian Barth (Friedrich-Alexander Universität Erlangen-Nürnberg), Benjamin Hübel (Friedrich-Alexander Universität Erlangen-Nürnberg) and Hendrik Scholz (Friedrich-Alexander Universität Erlangen-Nürnberg) - Discussant: Loriana Pelizzon (SAFE - Goethe University Frankfurt)

Social dinner at the Hotel Monaco: Speech by Ignazio Visco (Governor, Bank of Italy)

Friday, September 27 2019

09.00 - 10.45 Session V: CLIMATE RISK PRICING AND ASSESSMENT

Chairman: Andrea Gasperini (AIAF, Milan)

•        Key-note talk: A Climate Finance Risk Assessment and Management Approach under Uncertainty, Irene Monasterolo (Wirtschaftsuniversität Wien)

•        The Greenium Matters: Evidence on the Pricing of Climate Risk, Lucia Alessi (European Commission), Elisa Ossola (European Commission) and Roberto Panzica (European Commission) - Discussant: Andreas Hoepner (University College Dublin)

•        Climate Risk and Financial Stability in the Network of Banks and Investment Funds, Alan Roncoroni (University of Zurich), Stefano Battiston (University of Zurich), Luis Onésimo Leonardo Escobar Farfán (Banco de Mexico) and Serafin Martinez Jaramillo (Banco de Mexico & Centro de Estudios Monetarios Latinoamericanos) - Discussant: Matteo Manera (University of Milano-Bicocca)

11.15 - 12.45 PANEL Session: CLIMATE CHANGE RISK: THE POLICY MAKERS' POINT OF VIEW

Moderator: Francesca Campolongo (Joint Research Center, European Commission)

Participants:

Sergio Nicoletti Altimari (European Central Bank)

Mattia Romani (European Bank for Reconstruction and Development)

Nancy Saich (European Investment Bank)

Manuela Zweimueller (European Insurance and Occupational Pensions Authority)

Mario Nava (European Commission) will contribute a video message

13.45 - 15.15 Session VI: LENDING AND CLIMATE CHANGE

Chairman: Giulio Mignola (Intesa Sanpaolo, Turin)

•        High Water, No Marks? Biased Lending After Extreme Weather, Nicola Garbarino (Bank of England) and Benjamin Guin (Bank of England) - Discussant: Steven Ongena (University of Zurich, Swiss Finance Institute, KU Leuven & CEPR)

•        Buildings' Energy Efficiency and the Probability of Mortgage Default: The Dutch Case, Monica Billio (Ca’ Foscari University of Venice & GRETA), Michele Costola (SAFE - Goethe University Frankfurt), Loriana Pelizzon (SAFE - Goethe University Frankfurt) and Max Riedel (SAFE - Goethe University Frankfurt & Ca' Foscari University of Venice) - Discussant: Olivier De Jonghe (National Bank of Belgium & Tilburg University)

•        Climate Change and Bank Lending: the Case of Flood Risk in Italy, Ivan Faiella (Bank of Italy) and Filippo Natoli (Bank of Italy) - Discussant: Malcolm Mistry (Ca’ Foscari University of Venice & CMCC)

15.45 - 17.15 PANEL Session Practice: CLIMATE CHANGE RISK: A PRACTITIONERS’ VIEW

Moderator: Isabella Bufacchi (Il Sole 24 Ore)

Participants:

Mark Carhart (Kepos Capital, New York)

Carlo Carraro (Ca’ Foscari University of Venice & CMCC)

Robert Engle (New York University)

Giulio Mignola (Intesa Sanpaolo, Turin)

Jobst Neuss (European Investment Fund, Luxembourg)

Til Schuermann (Oliver Wyman, New York)

Cristiano Zazzara (S&P Global Market Intelligence, New York)

17.15 - 18.15 Session VII: CLIMATE CHANGE AND BOND MARKET

Chairman: Ludovic Thebault (European DataWarehouse)

•        Climate Change Implications for the Catastrophe Bonds Market: An Empirical Analysis, Claudio Morana (University of Milano-Bicocca, Center for Research on Pensions and Welfare Policies & Rimini Centre for Economic Analysis) and Giacomo Sbrana (NEOMA Business School) - Discussant: Luca De Angelis (University of Bologna)

•        The Pricing of Green Bonds: Are Financial Institutions Special?, Serena Fatica (European Commission), Roberto Panzica (European Commission) and Michela Rancan (European Commission) - Discussant: Marcello Pericoli (Bank of Italy)

End of conference - Exclusive visit to the Venetian Collection of Intesa Sanpaolo and cocktail at the Querini Stampalia

REGISTRATION

To register for the Conference you are requested to complete the registration form that is available on our website (http://www.greta.it/credit/credit2019/credit2019.htm).

Registration fees are:

VAT is currently 22%

*Students will have to provide valid proof of their student status.

The registration fees cover: Admission to all scientific sessions, Lunches and coffee service during the Conference and Conference kit.

The registration fees do not fully cover the conference dinner on September 26th, 2019, for which there is an extra charge of 90.00 Euro per person (conference attendees as well as accompanying persons).

More detailed information soon available on the Conference website:

http://www.greta.it/credit/credit2019/credit2019.htm

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Monica Billio
Dipartimento di Economia, Università Ca' Foscari Venezia
Fondamenta San Giobbe 873, 30121 Venezia
Tel +39 041 2349170, Fax +39 041 2349176
E-mail billio@unive.it

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CREDIT 2019 http://www.greta.it/credit/credit2019/credit2019.htm