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 […]