BEGIN:VCALENDAR
VERSION:2.0
PRODID:-//Mathematical Finance - ECPv5.7.0//NONSGML v1.0//EN
CALSCALE:GREGORIAN
METHOD:PUBLISH
X-WR-CALNAME:Mathematical Finance
X-ORIGINAL-URL:https://www.math.ttu.edu/mathematicalfinance
X-WR-CALDESC:Events for Mathematical Finance
BEGIN:VTIMEZONE
TZID:America/Chicago
BEGIN:DAYLIGHT
TZOFFSETFROM:-0600
TZOFFSETTO:-0500
TZNAME:CDT
DTSTART:20230312T080000
END:DAYLIGHT
BEGIN:STANDARD
TZOFFSETFROM:-0500
TZOFFSETTO:-0600
TZNAME:CST
DTSTART:20231105T070000
END:STANDARD
END:VTIMEZONE
BEGIN:VEVENT
DTSTART;TZID=America/Chicago:20230303T120000
DTEND;TZID=America/Chicago:20230303T130000
DTSTAMP:20260414T121404
CREATED:20220920T201518Z
LAST-MODIFIED:20230301T205324Z
UID:895-1677844800-1677848400@www.math.ttu.edu
SUMMARY:Do lower ESG rated companies have higher systemic impact? Empirical Evidence from Europe and the United States
DESCRIPTION:Speaker: Prof. Sandra Paterlini\, Economics and Management\, University of Trento\n\nAbstract: In recent years\, companies have increasingly been characterized by environ- mental\, social\, and governance (ESG) scores\, and investors and academics have raised questions concerning financial performance and investment risks. Now\, as the European Banking Authority has acknowledged that ESG risks can potentially impact the economic and financial system\, the debate on systemic risk has gained traction. Understanding the relationship between ESG merit and systemic risk is of utmost importance for the stability of the eco- nomic and financial system\, still\, research is limited. Relying on real-world European and US data\, we quantify systemic risk by means of QL-CoVaR. Empirical analyses of the entire period from 2007-2021 show that compa- nies with high ESG scores tend to exhibit low QL-CoVaR values indicating a positive effect of ESG scores. Such evidence is confirmed by clustering the individual companies into ESG portfolios and focusing on COVID-19. Additional insights using the individual pillars are also provided.
URL:https://www.math.ttu.edu/mathematicalfinance/event/tba/
LOCATION:via Zoom
CATEGORIES:Seminars,Spring 2023
ATTACH;FMTTYPE=image/jpeg:https://www.math.ttu.edu/mathematicalfinance/wp-content/uploads/2023/01/paterlini.jpg
END:VEVENT
BEGIN:VEVENT
DTSTART;TZID=America/Chicago:20230310T090000
DTEND;TZID=America/Chicago:20230310T100000
DTSTAMP:20260414T121404
CREATED:20220920T201704Z
LAST-MODIFIED:20230102T171639Z
UID:897-1678438800-1678442400@www.math.ttu.edu
SUMMARY:Risk-return performance of optimized ESG equity portfolios in the NYSE
DESCRIPTION:Speaker: Prof. Javier Lopez Prol\, Economics & Environmental Finance\, Yonsei University (Mirae) \nAbstract: The literature on the risk-return performance of equity portfolios depending on their ESG score is mixed. While most studies use some variant of Fama-French\, we optimize equity portfolios of the NYSE between 2018-2019 according to the Markovitz mean-variance framework depending on their ESG scores to better reflect the behavior of financial agents. We then systematically analyze the optimal and efficient portfolio performance and find that high ESG portfolios have lower volatility and even lower returns\, resulting in lower Sharpe ratios. The lower performance of high ESG portfolios is homogeneous across the three ESG components and robust across specifications.
URL:https://www.math.ttu.edu/mathematicalfinance/event/risk-return-performance-of-optimized-esg-equity-portfolios-in-the-nyse/
LOCATION:via Zoom
CATEGORIES:Seminars,Spring 2023
ATTACH;FMTTYPE=image/jpeg:https://www.math.ttu.edu/mathematicalfinance/wp-content/uploads/2023/01/prol.jpg
END:VEVENT
BEGIN:VEVENT
DTSTART;VALUE=DATE:20230317
DTEND;VALUE=DATE:20230318
DTSTAMP:20260414T121404
CREATED:20230102T172321Z
LAST-MODIFIED:20230102T172321Z
UID:1022-1679011200-1679097599@www.math.ttu.edu
SUMMARY:TTU Spring Break - no mathematical finance seminar
DESCRIPTION:
URL:https://www.math.ttu.edu/mathematicalfinance/event/ttu-spring-break-no-mathematical-finance-seminar/
CATEGORIES:Seminars,Spring 2023
ATTACH;FMTTYPE=image/jpeg:https://www.math.ttu.edu/mathematicalfinance/wp-content/uploads/2023/01/unhappy.jpg
END:VEVENT
BEGIN:VEVENT
DTSTART;TZID=America/Chicago:20230324T120000
DTEND;TZID=America/Chicago:20230324T130000
DTSTAMP:20260414T121404
CREATED:20230102T172624Z
LAST-MODIFIED:20230113T180726Z
UID:1025-1679659200-1679662800@www.math.ttu.edu
SUMMARY:A Comparison of ESG and Credit Ratings
DESCRIPTION:Speaker: Prof. Thierry Roncalli\, Head of Quantitative Research\, Amundi Institute; and Adjunct Prof. of Economics\, University of Evry \nAbstract: In this talk\, we analyze the construction of ESG ratings and investigate their time dynamics. For that\, we build the migration matrix of ESG ratings and assess the probabilistic properties of the associated Markov chain. We observe differences between ESG rating systems. Some of them are more reactive\, others present a best-in-class or worst-in-class bias. Finally\, we compare them with credit ratings\, and highlight the main differences.
URL:https://www.math.ttu.edu/mathematicalfinance/event/a-comparison-of-esg-and-credit-ratings/
LOCATION:via Zoom
CATEGORIES:Seminars,Spring 2023
ATTACH;FMTTYPE=image/jpeg:https://www.math.ttu.edu/mathematicalfinance/wp-content/uploads/2023/01/roncalli.jpg
END:VEVENT
BEGIN:VEVENT
DTSTART;TZID=America/Chicago:20230331T120000
DTEND;TZID=America/Chicago:20230331T130000
DTSTAMP:20260414T121404
CREATED:20230102T173039Z
LAST-MODIFIED:20230113T180711Z
UID:1027-1680264000-1680267600@www.math.ttu.edu
SUMMARY:ESG compliant optimal portfolios: The impact of ESG constraints on portfolio optimization in a sample of European stocks
DESCRIPTION:Speaker: Beatrice Bertelli\, Dept. of Economics\, Università degli Studi di Modena e Reggio Emilia \nAbstract: The introduction of the Environmental\, Social\, Governance (ESG) dimensions in setting up optimal portfolios has been becoming of uttermost importance for the financial industry. Given the absence of consensus in empirical literature and the limited number of studies providing performance comparison of ESG strategies\, the aim of this paper is to assess the impact of ESG on optimal portfolios and to compare different approaches to the construction of ESG compliant portfolios. Following Varmaz et al. (2022) optimization model\, we minimize portfolio residual risk by imposing a desired level of portfolio average systemic risk and ESG (measured by Bloomberg ESG score) over both an unscreened and a screened sample based on the 586 stocks of the EURO STOXX Index in the period January 2007 – August 2022.\n\nThese are the main results.\n•	Regardless of the level of portfolio systemic risk\, the Sharpe ratio of the optimal portfolios worsens as the target ESG level increases.\n•	The Sharpe ratio dynamics of portfolios with the highest average ESG scores follows market phases: it is very close to/higher than other portfolios in bull markets\, whereas it underperforms in stable or bear markets suggesting that ESG portfolios do not seem to represent a safe haven.\n•	Negative screenings with medium-low threshold reduce the performance of optimal portfolios with respect to optimization over an unscreened sample. However\, when adopting a very severe screening we obtain a superior performance implying that very virtuous companies allows investors to do well by doing good.
URL:https://www.math.ttu.edu/mathematicalfinance/event/esg-compliant-optimal-portfolios-the-impact-of-esg-constraints-on-portfolio-optimization-in-a-sample-of-european-stocks/
LOCATION:via Zoom
CATEGORIES:Seminars,Spring 2023
ATTACH;FMTTYPE=image/jpeg:https://www.math.ttu.edu/mathematicalfinance/wp-content/uploads/2023/01/bertelli.jpg
END:VEVENT
END:VCALENDAR