The Eighth Public Investors Conference: Agenda

Thursday, 27 October

09:00 a.m.


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

Friday, 28 October

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