The Eighth Public Investors Conference: Agenda
Thursday, 27 October
09:00 a.m. | Registration |
09:40 a.m. | Welcoming remarks |
09:45 a.m. | Opening remarks |
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? |
11:00 a.m. | Central bank governance and reserve portfolios investment policies: an empirical analysis |
11:30 p.m. | ESG integration in foreign exchange reserves management: perspectives from a small African central bank |
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 |
02:00 p.m. | Green sentiment, stock returns, and corporate behavior |
02:30 p.m. | Adding the climate dimension to extant credit risk models: teaching old dogs new tricks |
Session 3: Climate Risk
Chair: Ingo Fender, Bank for International Settlements
03:30 p.m. | Assessing Climate and Sustainability Risks: A Public Investor Perspective |
04:00 p.m. | The Term Structure of Carbon Risk Premia |
04:30 p.m. | Climate Scenarios for Fixed-Income Investors |
Friday, 28 October
08:30 a.m. | Keynote address: "How to measure transition risks" |
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 |
10:00 a.m. | Sustainable Alpha in Sovereign and Corporate Bonds |
10:30 a.m. | Currency Anomalies |
Session 5: Quantitative Portfolio Management
Chair: Eric Bouyé, The World Bank
11:30 a.m. | Dynamic Portfolio Optimization with Scenario-based Reinforcement Learning |
12:00 p.m. | Machine Learning Applied to Fixed Income Portfolio Management: A Lasso logit approach |
12:30 p.m. | Middle Out: Only Extreme Deciles Matter |
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 |
02:30 p.m. | A Better Criterion for Forced Selling in Bond Markets: Credit Ratings versus Credit Spreads |
03:00 p.m. | The backtesting of Value at Risk (VaR) and Expected Shortfall (ES): methods and challenges |
03:30 p.m. | Closing remarks |