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.
Agenda of the Eighth Public Investors Conference
Thursday, 27 October 2022
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 2022
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 |