Tiziano Bellini (Prometeia) Model Risk Quantification in Commercial Banking: A Statistical Framework Abstract : A framework for quantifying model risks in commercial banking is proposed. Model Uncertainty is investigated from different angles with the aim to capture risks stemming from the model itself as well as its interaction with wider frameworks.

Wolfgang Lemke (European Central Bank) will give a presentation on Natural rate chimera and bond pricing reality Abstract :  We build a novel macro-finance model that combines a semi-structural macroeconomic module with arbitrage-free yield-curve dynamics.

The 17th meeting of the Belgian Financial Research Forum (BFRF) will take place at the National Bank of Belgium in Brussels (Belgium) on April 20-21, 2023.

Sicong (Allen) Li, London Business School will give a presentation on Asset-Pricing Factors with Economic Targets Abstract: We propose a method to estimate latent asset-pricing factors that incorporates economically motivated targets for both cross-sectional and time-series properties of the factors.

Farah Mugrabi (UCLouvain) will give a presentation on Detecting and dating possibly distinct structural breaks in the covariance structure of financial assets Abstract: This paper aims to identify and date contagion by accounting for possibly distinct structural breaks among the covariance structure of financial assets.

Nestor Parolya, Delft University will give a presentation on Two is better than one: Regularized shrinkage of large minimum variance portfolios Abstract: In this paper we construct a shrinkage estimator of the global minimum variance (GMV) portfolio by a combination of two techniques: Tikhonov regularization and direct shrinkage of portfolio weights.

Nabil Bouamara will give a presentation on Sequential Cauchy Combination Test for Multiple Testing Problems with Financial Applications Abstract: We introduce a simple tool to control for false discoveries and identify individual signals when there are many tests, the test statistics are correlated, and the signals are potentially sparse.

Paolo Giudici, University of Pavia will give a presentation on SAFE Artificial Intelligence in Finance Abstract: Financial technologies, boosted by the availability of machine learning models, are expanding in all areas of finance: from payments (peer to peer lending) to asset management (robot advisors) to payments (blockchain coins).

Baridhi Malakar ( Scheller College of Business Atlanta ) "Do Managers Walk the Talk on Environmental and Social Issues?" LFIN contact person: James Thewissen

Thanos Verousis  (Essex Business School ) "Decomposing asymmetric information in equity options" LFIN contact person: James Thewissen