ESSEC - Amundi Chair on Asset & Risk Management
"Climate Risk and Portfolio Management"
October 18, 2022
The last decade has been characterized by a growing concern for climate change which is now considered as one of the biggest challenges to mankind. Regulators and investors have also realized that climate change poses a threat to our economies and can have significant social and financial implications with the increasing transition and physical risks which results from it.
Recently, a new field of research, climate finance, has developed to better understand the interactions between the climate and financial markets. For instance, what is the impact of climate change on portfolio management activities? This webinar examines this question. In a first paper, Dries Laurs proposes a proxy for a climate risk factor, the “carbon beta”. The second paper presented by Stefano Giglio proposes a quantity-based approach to build portfolios to hedge the economic risks associated to climate change. Both papers contribute to our understanding of the numerous impacts of climate change on financial markets.
16.30 - 17.15: “A Quantity-Based Approach to Constructing Climate Risk Hedge Portfolios”
Stefano Giglio, Yale University
17.15 - 18.00: “Carbon Beta: A Market-Based Measure of Climate Risk”
Dries Laurs, Vrije Universiteit Amsterdam