The Eighth Public Investors Conference
27-28 October, 2018
Ottawa, Canada
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The last several years have challenged public investors in unprecedented ways. Prolonging the earlier environment of low interest rates and compressed term premia, the Covid-19 outbreak has challenged the outlook for asset prices, while highlighting the need to ensure adequate liquidity of investment portfolios. The sharp, but uneven, subsequent recovery has compounded the challenge, as extraordinary monetary and fiscal policy measures have interacted with a waxing and waning pandemic. More recently, the debate over the extent to which inflationary pressures will prove transient has forced yet another reassessment of investment decisions, tied in with questions about the timing and extent of the ongoing process of policy normalisation. Meanwhile, a growing sense of urgency around climate-related risks has led investors of all types to redouble their efforts to incorporate sustainability considerations into their investment processes are giving rise to additional trade-offs in asset allocation decisions.
In this context, the Eighth Public Investors Conference explored a range of relevant issues:
- New methodologies for risk-return modelling that incorporate the risks of the current environment
- Integration of environmental, social and governance (ESG) considerations into the investment process
- Robust asset allocation and asset-liability models for public investors
- Emerging technologies and their application to portfolio construction as well as investment and risk management
The conference proceedings were published by the BIS.
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 |