Agenda for the Ninth Public Investors Conference

The agenda will be made available 2 weeks before the conference takes place.

See below the agenda of the Eighth Public Investors Conference that took place in 2022.

09:00 a.m.	Registration
09:40 a.m.	Welcoming remarks
09:45 a.m.	Opening remarks Toni Gravelle, Deputy Governor, Bank of Canada

Session 1: Reserve Management Frameworks
Chair: Tommaso Perez, Banca d'Italia

10:30 a.m.	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
11:00 a.m.	Central bank governance and reserve portfolios investment policies: an empirical analysis Carmen Herrero, Daniela Klingebiel, Marco Ruiz, and James Seward, The World Bank
11:30 p.m.	ESG integration in foreign exchange reserves management: perspectives from a small African central bank Melvin M. Khomo, Central Bank of Eswatini

Session 2: Greening the Investment Process
Chair: Omar Zulaica, Bank for International Settlements

01:30 p.m.	Doing well while doing good – the elusive quest for green bond returns Juliusz Jabłecki, Narodowy Bank Polski
02:00 p.m.	Green sentiment, stock returns, and corporate behavior Marie Briere, Amundi Asset Management Stefano Ramelli, University of Zurich
02:30 p.m.	Adding the climate dimension to extant credit risk models: teaching old dogs new tricks David Bolder, The World Bank

Session 3: Climate Risk
Chair: Ingo Fender, Bank for International Settlements

03:30 p.m.	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
04:00 p.m.	The Term Structure of Carbon Risk Premia Dora Xia and Omar Zulaica, Bank for International Settlements
04:30 p.m.	Climate Scenarios for Fixed-Income Investors Eric Bouyé, Carmen Herrero, Daniel Vela, The World Bank

08:30 a.m.

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

Session 4: Active Management Strategies
Chair: Daniela Klingebiel, The World Bank

09:30 a.m.	Systematic investment strategies for sovereign fixed-income portfolios: design and implementation Mike McMorrow, Bank for International Settlements
10:00 a.m.	Sustainable Alpha in Sovereign and Corporate Bonds Karishma Kaul, Katharina Schwaiger, Muling Si, Andrew Ang, BlackRock
10:30 a.m.	Currency Anomalies Söhnke M. Bartram, University of Warwick and CEPR Anthony Garratt, University of Warwick Leslie Djuranovik, Bank Indonesia

Session 5: Quantitative Portfolio Management
Chair: Eric Bouyé, The World Bank

11:30 a.m.	Dynamic Portfolio Optimization with Scenario-based Reinforcement Learning David P. Kroon, Hens Steehouwer, Maurits van Joolingen, and Marc K. Francke, Ortec Finance
12:00 p.m.	Machine Learning Applied to Fixed Income Portfolio Management: A Lasso logit approach Mercedes de Luis, Emilio Rodríguez, Diego Torres, Banco de España
12:30 p.m.	Middle Out: Only Extreme Deciles Matter Ashwin Alankar, Philip Maymin, Myron Scholes, Janus Henderson Investors

Session 6: Risk Management
Chair: Étienne Lessard, Bank of Canada

02:00 p.m.	Effective public investor risk management in a world of low interest rates Thomas Brophy, David Doran, and Steve Kilkenny, Central Bank of Ireland
02:30 p.m.	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
03:00 p.m.	The backtesting of Value at Risk (VaR) and Expected Shortfall (ES): methods and challenges Marco Fruzzetti, Davide Nasti, Marco Orlandi, Banca d'Italia
03:30 p.m.	Closing remarks Therese Couture, Director, Asset Management and Advisory, The World Bank Treasury

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