MEETINGS

Seminars are usually on Thursday morning at CMAP. To register on the mailing-list, see https://groups.io/g/ml

2022

Mini-courses

  • Sept. 9th, 2022: Johanna Ziegel (University of Bern, Switzerland)
  • March 24th, 2022 : Corinne Bach (France)
    • Carbometrix - recherche économie et climat
  • Jan. to May : H. Chenet (Ecole polytechnique, France Paris)
    • Jan. 14th, 2022: Introduction Climat et Finance. 2005-2015 : construction d'une problématique.
    • Jan. 25th, 2022 : Scénarios climat - économique.
    • March 18th, 2022: Net-Zéro
    • March 24th, 2022 : Indicateurs et métriques de la "finance-climat"
    • April 1st, 2022: Régulation financière et climat
    • April 8th, 2022: Stress-tests climatiques
    • April 19th, 2022:  Verdissement des pratiques et produits financiers
    • May 13th, 2022: Matérialité financière du risque climatique
    • May 20th, 2022 : Finance et soutenabilité, au-delà du climat.

Workshops

  • May 31st - June 2nd, 2022 : Workshop "Climate finance, risk and uncertainty modelling 2022" at FBF (18 rue La Fayette, 75009 Paris). Site internet
  • Jan. 19th, 2022 : Workshop "Weather extremes and climate change" at Institut Henri Poincaré (11 rue Pierre et Marie Curie, 75005 Paris). Site internet 

Seminar

  • March 23, 2022 : Seminar "Méthodes de simulations - aspects computationnels"
    • Clément Rey (Ecole polytechnique) : "Recursive computation of the quantile of a Lipschitz function."
    • Juan Camilo Bustos Pelaez (BNP Paribas) : "Credit Bond Rating, most likely rating attribution for missing rating"
    • Edouard Tabary (BNP Paribas) : "Algorithm fairness in credit scoring"

2021

Data Challenge

  • 2021, September 15th - November 22nd : Data Challenge on Generative modelling of Financial Losses: GenHack
  • 2021, September 15th - October 15th : Call for application
  • 2021, October 20th : Kick-off
  • 2021, October 25th - November 22nd : Competition
  • 2021, December 15th : Closing Event at Bivwak! (3 rue Rossini, Paris)

Seminar

  • Dec. 15, 2021 : Seminar "Market risk and counterparts"
    • Manon Rivoire : "Value-at-Risk prediction for multivariate fractional dynamics."
    • Dorinel Bastide : "Costs and risks for Clearing Members with a one-period financial network model"
    • Equipe SIGMA (Behnaz Zargari & Thomas Nguyen) : "Autocallable Products and Multivariate Normal Probability Computation"
  • Oct. 28-31, 2021: Kernel Workshop @DALI-2021, organized by Z. Szabo and A. Rudi
  • Sept. 06, 2021 : Seminar "Climat Risks"
    • Josselin Garnier : "Un modèle de risque de crédit étendu aux risques climatiques"
    • Ying Jiao : "From optimal carbon emission to climat-related credit risk"
    • Clara Lage : "Optimal ecological transition path of a credit portfolio distribution with banking risk assessment"
  • June 01,2021 : Seminar "Data Sharing"
    • E. Gobet : Quelle complexité d'un réseau de neurones pour bien simuler des trajectoires à temps continu?
    • M. Allouche : Tail-Gan : Simulation of extreme evnts with ReLU neural networks
    • S. De Marco : A short introduction to deep generative models.

Machine Learning Journal Club

  • April 1st, Costanza Tortu. "Machine learning algorithms tailored for causal inference studies"
  • March 18th, Marc Chataigner. "Nowcasting Netwroks"
  • February 18th, Charu Shardul. "A reinforcement learning approach for mean variance portfolio selection problem"
  • February 4th, David Métivier. "A mean field view of the landscape of two-layer neural networks"

Workshops

  • May 18-21th: RESIM 2021 13th Workshop on Rare-Event Simulation, Paris (France). A round table about climatic risks has been set up with Valérie Chavez (HEC Lausanne), Ivar Ekeland (Univ. Dauphine), Violaine Lepousez (Carbone 4), David Moncoulon (CCR), Philippe Naveau (Laboratoire des Sciences du Climat et de l'Environnement) and Sylvie Parey (EDF), and has been moderated by Juliette Nouel.
    • Gabriel Peyré. "Computational optimal transport"
    • Florence Alché-Buc. "Kernels: shallow and deep learning" (P1)
    • Emmanuel Bacry, Antonio Casilli, Laurence Devilliers. "Ethics & AI"
    • Florence Alché-Buc "Kernels: shallow and deep learning" (P2)
    • Anthony Davison: "Climate risks and extremes"
    • Philippe Naveau: "how to attribute extreme events in climate studies"
    • Gabriel Synnaeve: "Advances in end-to-end speech recognition"
    • François Yvon: "Recent advances in deep learning for NLP"
    • Michale Jordan: "Towards a blend of machine learning and microeconomics"
    • Volkan Cevher: "Optimization challenges in adversarial ML"
    • Pradeep Ravikumar: "Robust machine learning"

2020

Mini-courses

  • March: H. Tsukahara (Seijo University, Japan)
    • "Statistics of Risk Measures: Estimation and Backtesting"
    • "A Copula approach to Spatial Econometrics with applications to Finance"

Machine Learning Journal Club

  • November 26th, Bouazza Saadeddine. "Deep XVAs"
  • November 12th, "Statistical optimal transport posed as learning kernel mean embedding"
  • October 15th, Costanza Tortu. "Heterogeneous treatment and spillover effects under clustered network interference"
  • July 23rd, Linda Chamakh. "Portfolio optimization: Distribution targeting with kernel-based divergence"
  • July 9th, David Barrera. "Efficient parameter estimation of sampled random fields"
  • June 25th, Bouazza Saadeddine. "Probabilistic line searches for stochastic optimization"
  • June 11th, Marc Chataigner. "Deep local volatility"
  • May 14th, Wei Jiang. "Integrating multi-source block-wise missing data in model selection"
  • April 30th, Michaël Allouche. "Variational Autoencoder"
  • April 9th, Bouazza Saadeddine. "Gradient Boosting Neural Networks: GrowNet"

Seminar

    • Guivarch C. (CIRED) Economic - Climate models
    • Mangin E. (BNPP - STMM) Introduction on credit-climate stress test
    • Bouchet V. (CDC and Ecole polytechnique) Corporate credit risk sensitivity to carbon price
  • April 9th: Stress Test Seminar

Workshops

  • June 30th: BNP Workshop
    • Cyril Benezet "Simulation and extreme risks estimation for factor copulas with given marginals"
    • Mohamed Mkaouar "Multiple-Gradient Descent Algorithm"
    • Aya Slimen "Component Analysis of Multivariate Extremes"
    • Bechir Trabelsi "Shape-Constrained Risk Measures"
    • Yosr Awadni "Modeling and stochastic approximation of market risk over the year"
    • Elisa Ndiaye "Climate risk"
  • May 28th: 13th International Workshop on rare Event Simulation RESIM 2020, Paris (Postponed May 2021)
  • February 6th:
    • Celine Guivarch "Overview of economic-climate models."
    • Vincent Bouchez "Corporate credit risk sensitivity to carbon price."
  • January 9th:
    • Antoine Bézat, Edwin Mangin "Introduction on credit-climate stress test".
    • David barrera and Bouazza Saadeddine "On the nonparametric estimation of conditional VaR and ES, with applications to Neural Networks."

2019

  • November 21th, Jerome Stenger.
  • October 17th, Rodrigo Targino.
  • October 3rd, Philippe Durand.
  • June 13th, Clément Dombry. "The coupling method in Extreme Value Theory"
  • May 9th, Antoine Usseglio. "Estimation of conditional extreme risk measures from heavy-tailed elliptical random vector"
  • April 4th, Arnaud Guyader.  "Introduction to rare event simulation methods"
  • March 21th, Gildas Mazo.  "Sensitivity analysis for stochastic models"
  • March 7th, Guillaume Perrin. "uncertainty quantification"
  • February 7th, Anne Sabourin. "Binary Classification in Extreme Regions"

Minicourses

  • October, Targino R., "Element of risk management and the allocation problem".
  • April 24-25th, Jean-David Fermanian. "Recent advances of Copula models and their financial applications"
  • January 10th, Stéphane Girard. "Introduction to extreme-value analysis" (3/3)

Workshop day

  • September 19th
  • April 11th, Stéphane Crépey. ”XVA Metrics for CCP Optimisation”
  • January 9th
    • Josselin Garnier. "Introduction à la Meta-modélisation"
    • Antoine Bezat. "Elements d’infrastructure méthodologique et aspect de l’exercice ST EBA"
    • Stefano De Marco. "Méthodes de Monte-Carlo multi-niveaux"
    • Pierre Anton. "Challenges pour le Reverse Stress Test Marché"

2018

Minicourses

  • December 13th, Stéphane Girard. " Introduction to extreme-value analysis" (2/3)
  • November 29th, Stéphane Girard. "Introduction to extreme-value analysis" (1/3)

Workshop

  • October 12th
    • Dorinel Bastide. "Reverse stress test"
    • Pierre Del Moral. "Méthodes Monte Carlo pour l’estimation et l’analyse de risque"
    • Damien Hequet. "Stress Test Credit"
    • Emmanuel Gobet. "Quantification d’incertitudes des métriques de risque"