Speaker: Dr. Oezge Sahin, Mathematical Statistics, Technical University of Munich Abstract: Environmental, Social, and Governance (ESG) scores measure companies' performanceconcerning sustainability and societal impact and are organized on three pillars:  Environmental (E), Social (S), and Governance (G). These complementary non-financial ESG scores should provide information about the ESG performance and risks of different companies. However, […]

Speaker: Srishti Mehra, School of Information, UC Berkeley Abstract: Environmental, Social, and Governance (ESG) are non-financial factors that are garnering attention from investors as they increasingly look to apply these as part of their analysis to identify material risks and growth opportunities. Some of this attention is also driven by clients who, now more aware […]

Speaker: Prof. Hui Xu, Accounting and Finance, Lancaster University Abstract: How does import competition from China affect engagement on ESG initiatives by US corporates? On the one hand, reduced profitability due to import competition and lagging ESG performance of Chinese exporters can disincentivize US firms to put more resources to ESG initiatives. On the other […]

Speaker: Prof. Damien Challet, Mathematics & Computer Science, University of Paris-Saclay Abstract: We systematically investigate the links between price returns and ESG features. We propose a cross-validation scheme with random company-wise validation to mitigate the relative initial lack of quantity and quality of ESG data, which allows us to use most of the latest and […]

Speaker: Prof. Dorje C. Brody, Mathematics, University of Surrey Abstract: The behaviour of a person is dominated by their ability to process uncertain information available to them. When there is a range of alternatives to choose from, the likelihoods assigned by the person to these different alternatives determine the state of their mind in relation […]

Speaker: Prof. Andrea Macrina, Mathematics, University College London Abstract: We develop a novel approach for the construction of quantile processes governing the stochastic dynamics of quantiles in continuous time. Two classes of quantile diffusions are identified: the first, which we largely focus on, features a dynamic random quantile level and allows for direct interpretation of […]

Speaker: Dr. Carmine de Franco, Head of Research & ESG, Ossiam Abstract: We designed a machine learning algorithm that identifies patterns between ESG profiles and financial performances for companies in a large investment universe. The algorithm consists of regularly updated sets of rules that map regions into the high-dimensional space of ESG features to excess […]

Speaker: Prof. Matthew Dixon, Applied Mathematics, Illinois Institute of Technology Abstract: Catastrophe (CAT) bond markets are incomplete and hence carry uncertainty in instrument pricing. As such various pricing approaches have been proposed, but none treat the uncertainty in catastrophe occurrences and interest rates in a sufficiently flexible and statistically reliable way within a unifying asset […]

Speaker: Prof. Julian Koelbel, School of Finance, University of St. Gallen Abstract: This study examines the impact of ESG ratings on mutual fund holdings, stock returns, corporate investment, and corporate ESG practices, using panel event studies. Looking specifically at changes in the MSCI ESG rating, we document that rating downgrades reduce ownership by mutual funds […]

Speaker: Prof. John Geanakoplos, Economics, Yale University Abstract: Statistical analysis and stochastic interest rate modelling for valuing the future with implications in climate change mitigation High future discounting rates favor inaction on present expending while lower rates advise for a more immediate political action. A possible approach to this key issue in global economy is […]

Speaker: Dr. Juan Sabuco, Smith School of Enterprise and the Environment, Oxford University Abstract: We develop an agent-based simulation of the catastrophe insurance and reinsurance industry and use it to study the problem of risk model homogeneity. The model simulates the balance sheets of insurance firms, who collect premiums from clients in return for ensuring […]