The 2nd ESG & Climate Risk in Quantitative Finance Conference, 5th-7th October 2021

The 2nd ESG & Climate Risk in Quantitative Finance Conference, 5th-7th October 2021

Revisit The 2nd ESG & Climate Risk in Quantitative Finance Conference, originally presented 5th-7th October 2021

The ESG & Climate Risk in Quantitative Finance Conference is 3 day event focusing on the latest developments, challenges and opportunities that lie ahead within Climate Risk and ESG.

Engage, educate and share best practices with leading ESG quants and Climate Risk practitioners. Discussing the latest modelling methodologies, governance challenges with an inevitable increased drive towards ethical innovations.

Workshop Day: ESG & Climate Risk in Quantitative Finance

by Navin Rauniar: Advisory Partner focusing on LIBOR, ESG, Climate Risk & TCFD, HSBC

Overview of Environmental, Social and Corporate Governance

  • What is ‘E’, ‘S’ and ‘G’?
  • Explaining Climate Risk, Sustainability, GHG and Net Zero

Global Regulatory Requirements for ESG Frameworks

  • Latest update of regulatory requirements including Climate, Sustainability, Carbon & Net Zero
  • Integrating into ESG Regulatory Frameworks

Overview of ESG products

  • The Key Characteristics of ESG Products in the Current Market
  • Matching the Client’s ESG Returns and solutions required for hedging, structuring, etc

ESG Products Design Framework: Aligning the Desired ESG Products with Market Strategies

  • Key considerations for ESG product design
  • Challenges and opportunities especially with ESG metrics
  • Taxonomies for Investment Products

Managing ESG data and sourcing the right data sets

  • Identifying the data source, historic and forward looking
  • Addressing the typical paint points and associated vendor solutions

Group Discussion, Case Studies & Market Opportunities

Conference Day One


by Navin Rauniar: Advisory Partner focusing on LIBOR, ESG, Climate Risk & TCFD

  • What is ESG and why does it matter to you?
  • Key regulations and frameworks financial institutions need to be aware of
  • Impacts to the Risk function



The Impact of ESG Investing on Asset Pricing, Credit Rating, Financial Analysis and the Cost of the Debt

by Thierry Roncalli: Head of Quantitative Research at Amundi Asset Management

  • The performance of ESG Investing in the stock market between 2010 and 2021
  • Why the relationship between ESG and performance is different in the corporate bonds’ market?
  • Intrinsic value or extrinsic value: materiality versus investment flows
  • The convergence between ESG ratings and credit ratings
  • The rise and the fall of the financial analysis or how extra-financial analysis will become the standard
  • The example of sovereign debt: E, S or G?




The role of ESG data in determining credible net-zero ambitions

by Yannick Pape: Consultant, South Pole

  • Introduction into carbon footprinting and the importance of Scope 3 data
  • Trends in scope 3 reporting and financed emissions
  • How to determine portfolio alignment to the Paris climate goals
  • Inferences for investor net-zero claims




Risk vs. Uncertainty: A new paradigm in risk management

by Gerhard Mulder: CEO, Climate Risk Services

The capital markets theories of the 1950’s and 1960’s are based on assumptions that will render them obsolete as the shift towards a low carbon economy is gathering momentum. The underlying assumptions are based on risk data and information that is largely based on historical timeseries. We are in the early stages of a fundamental re-engineering of the financial system. This new paradigm puts the financial sector at the service of fighting climate change, the biggest challenge of our time. This has profound consequences for how portfolios are constructed, how companies are valued, the changing role of risk managers, and the type of data they need to inform decisions. 

  • Risk/return concepts are based on historical timeseries; Historical correlations and performance are no longer valid in a world shaped by climate change
  • The materialisation of physical and transition risks depends on multiple nonlinear dynamics (natural, technological, societal, regulatory and cultural, among others) that interact with each other in complex ways and are subject to radical uncertainty
  • This has profound consequences on how portfolios are constructed, how companies are valued, the changing role of risk managers, and the type of data used to inform decisions




Systematic ESG Research: Measuring ESG Return Premium In Equity Markets - The Right Way

by Arik Ben Dor: Managing Director and Head of Quantitative Equity Research, Barclays

A common approach to measuring the effect of ESG (or ‘ESG premium’) in equities is to use the difference between a broad index and its ESG version. This approach, however, does not control for mismatches in systematic risk exposures and sector weights between the two indices that can contaminate the results. We introduce a new approach that addresses the issues and accurately measures ESG return premium in equities. We find that the ESG return premium in equities has been positive in the past decade in both US and Europe. We illustrate how investors could use our approach at the aggregate or more granular levels to measure ESG returns, as well as to construct portfolios with pure ESG exposures.




Beyond the Buzz - Integrating ESG Data into Investment Processes

by Alexandria Fisher: Senior Strategic Analyst, Government of Alberta

  • Trust, Transparency, and ESG Data: Embracing Asymmetry and Approximation
  • Customization is Crucial: Understanding Bias in ESG Scores
  • Alpha and ESG: Quiet the Noise to Add Value
  • Time Horizons: Long-Termism and the Efficacy of ESG Strategies




Will Ethereum Be The Way to Green Cryptocurrencies

by Helyette Geman, PhD, PhD: Professor of Mathematical Finance, Birkbeck – University of London & Johns Hopkins




PANEL: ESG & Climate Risk

  • How do we balance alpha vs. ESG commitments
  • Challenges and opportunities with ESG metrics
  • Taxonomies for products and the challenges
  • Opportunities for financial institutions

Conference Day Two


AI Ethics and Governance

by Emre Kazim: Research Fellow at UCL and Co-Founder of Holistic AI




Regulatory Obligations for Climate Change

by Navin Rauniar: Advisory Partner focusing on LIBOR, ESG, Climate Risk & TCFD, HSBC

  • The Paris Agreement
  • Regulatory standards & guidance from central authorities including the BoE, ECB, US CFTC.
  • Common themes and expectations from national regulators
  • Role of NGFS and the EU Taxonomy
  • Cross dependencies from TCFD
  • How to implement governance required for Climate Risk Management?
  • Challenges and opportunities for Financial Institutions




TCFD and the climate-related corporate reporting landscape

by Monica Filkova: Climate and Sustainable Finance Advisor

  • What is TCFD?
    • Overview of recommendations
    • Scenario analysis
  • TCFD and other reporting: voluntary v mandatory, principles v standards
  • The concept of materiality and its link to reporting
  • Trends in corporate reporting




Perspectives on the corporate integration of ESG and sustainability, and its implications for the data they disclose

by Marie-Josée Privyk: Head of ESG Innovation, Novisto




Sustainable Investment - Exploring the Linkage between Alpha, ESG, and SDG's

by Miquel Noguer Alonso: Co–Founder and Chief Science Officer, Artificial Intelligence Finance Institute – AIFI

Environmental, Social and Governance (ESG) investing has been one of the most important topics in asset management this past decade. Yet, for all the attention, only a fraction of asset managers truly consider ESG issues when making investment decisions. This is partly due to the perceived conflict of ESG investing with an asset manager’s fiduciary duty and partly due to low-quality ESG data despite the near ubiquity of sustainability reports. We analyze the relationship between alpha generation and ESG metrics, and measure the impact companies have on the U.N.’s Sustainable Development Goals (SDG´s). First, we construct a sector-neutral portfolio using MSCI ESG momentum scores from 2013 to 2018, and determine that it is feasible to generate positive alpha vis a vis the MSCI US index. Second, we utilize structured and unstructured data to determine a company’s net influence on the SDGs, what we call its SDG ‘footprint.’ We show that an ESG momentum portfolio both outperforms the MSCI US index and has a relatively better SDG footprint than that of the index. Third, we establish a positive contemporaneous connection between the portfolio’s ESG ratings momentum and its SDG footprint. Thus, a positive linkage exists between ESG, alpha, and the SDG’s.




ESG versus Efficiency and Free Markets

by Erik Vynckier: Interim Chief Executive, Foresters Friendly Society

  • Geophysical basis of weather and climate
  • Adverse weather events: what do reinsurers think?
  • Renewable, nuclear and fossil power: countries choosing their energy mix
  • Other resource intensive industries: transportation, heating and cooling, construction, packaging and waste recycling and disposal
  • ESG mapping and planning versus free market




Challenges of Climate Risk Stress Testing

by Navin Rauniar: Advisory Partner focusing on LIBOR, ESG, Climate Risk & TCFD, HSBC


Please note some presenter slides and video lecture recordings may be restricted due to company compliance.