The Eighth Public Investors Conference: Agenda

Registration

Welcoming remarks

Opening remarks
Toni Gravelle, Deputy Governor, Bank of Canada

Risk preferences, global market conditions and foreign debt: Is there any role for the currency composition of FX reserves?
Lebogang Mateane, University of Cape Town, School of Economics, South Africa

Central bank governance and reserve portfolios investment policies: an empirical analysis
Carmen Herrero, Daniela Klingebiel, Marco Ruiz, and James Seward, The World Bank

ESG integration in foreign exchange reserves management: perspectives from a small African central bank
Melvin M. Khomo, Central Bank of Eswatini

Doing well while doing good – the elusive quest for green bond returns
Juliusz Jabłecki, Narodowy Bank Polski

Green sentiment, stock returns, and corporate behavior
Marie Briere, Amundi Asset Management
Stefano Ramelli, University of Zurich

Adding the climate dimension to extant credit risk models: teaching old dogs new tricks
David Bolder, The World Bank

Assessing Climate and Sustainability Risks: A Public Investor Perspective
Ivan Faiella, Enrico Bernardini, Johnny Di Giampaolo, Marco Fruzzetti, Simone Letta, Davide Nasti and Raffaele Loffredo, Banca d'Italia

The Term Structure of Carbon Risk Premia
Dora Xia and Omar Zulaica, Bank for International Settlements

Climate Scenarios for Fixed-Income Investors
Eric Bouyé, Carmen Herrero, Daniel Vela, The World Bank

Keynote address: "How to measure transition risks"
Ron Dembo, Chief Executive Officer, riskthinking.AI

Systematic investment strategies for sovereign fixed-income portfolios: design and implementation
Mike McMorrow, Bank for International Settlements

Sustainable Alpha in Sovereign and Corporate Bonds
Karishma Kaul, Katharina Schwaiger, Muling Si, Andrew Ang, BlackRock

Currency Anomalies
Söhnke M. Bartram, University of Warwick and CEPR
Anthony Garratt, University of Warwick
Leslie Djuranovik, Bank Indonesia

Dynamic Portfolio Optimization with Scenario-based Reinforcement Learning
David P. Kroon, Hens Steehouwer, Maurits van Joolingen, and Marc K. Francke, Ortec Finance

Machine Learning Applied to Fixed Income Portfolio Management: A Lasso logit approach
Mercedes de Luis, Emilio Rodríguez, Diego Torres, Banco de España

Middle Out: Only Extreme Deciles Matter
Ashwin Alankar, Philip Maymin, Myron Scholes, Janus Henderson Investors

Effective public investor risk management in a world of low interest rates
Thomas Brophy, David Doran, and Steve Kilkenny, Central Bank of Ireland

A Better Criterion for Forced Selling in Bond Markets: Credit Ratings versus Credit Spreads
Jae Yong Choi, Bank of Korea
Junesuh Yi and Sun-Joong Yoon, Dongguk University Korea

The backtesting of Value at Risk (VaR) and Expected Shortfall (ES): methods and challenges
Marco Fruzzetti, Davide Nasti, Marco Orlandi, Banca d'Italia

Closing remarks
Therese Couture, Director, Asset Management and Advisory, The
World Bank Treasury