Sustainable Finance

It is an advanced course in sustainable finance (theory and applications). The course is given at the University of Evry/Paris-Saclay.

Description

• Introduction (Definition, Actors, the Market of ESG Investing)
• ESG Investing (ESG Scoring, ESG Ratings, Performance of ESG Investing, ESG Financing, ESG Premium)
• Other Responsible Investment Topics (Sustainable Financing Products, Impact Investing, Voting Policy & Engagement, ESG and Climate Accounting)
• Climate Risk (Definition, Global Warming, Economic Modeling, Risk Measures)
• Climate Investing (Portfolio Decarbonization, Net Zero Carbon Metrics, Portfolio Alignment)
• Mathematical Methods, Technical Tools and Exercises (Scoring System, Trend Modeling, Geolocation Data, Numerical Computations, Optimization)

Materials

• Download the Presentation Slides on Sustainable Finance

• Download the presentation slides
  1. Lecture 1 (Introduction to Sustainable Finance)
  2. Lecture 2 (ESG Investing)
  3. Lecture 3 (Other ESG Topics)
  4. Lecture 4 (Climate Risk)
  5. Lecture 5 (Climate Investing)
  6. Lecture 6 (Mathematical Analysis and Exercises)
• Download the Merged PDF File of the 6 lectures
• Download the TeX Source of the slides

• Download examination 2022.

References

1. Amundi publications on ESG Investing
   • Bennani, L., Le Guenedal, T, Lepetit, F., Ly, L., Mortier, V., Roncalli, T., and Sekine T. (2018), How ESG Investing Has Impacted the Asset Pricing in the Equity Market, SSRN, www.ssrn.com/abstract=3316862
   • Ben Slimane, M., Brard, E., Le Guenedal, T, Roncalli, T., and Sekine T. (2020), ESG Investing in Fixed Income: It's Time To Cross the Rubicon, SSRN, www.ssrn.com/abstract=3683477
   • Drei, A., Le Guenedal, T, Lepetit, F., Mortier, V., Roncalli, T., and Sekine T. (2020), ESG Investing in Recent Years: New Insights from Old Challenges, SSRN, www.ssrn.com/abstract=3683469
   • Roncalli, T. (2020), ESG & Factor Investing: A New Stage Has Been Reached, Amundi Viewpoint, research-center.amundi.com
2. Amundi publications on Climate Investing
   • Le Guenedal, T. (2019), Economic Modeling of Climate Risks, SSRN, www.ssrn.com/abstract=3693661
   • Bouchet, V., and Le Guenedal, T. (2020), Credit Risk Sensitivity to Carbon Price, SSRN, www.ssrn.com/abstract=3574486
   • Le Guenedal, T., Girault, J., Jouanneau, M., Lepetit, F., and Sekine, T. (2020), Trajectory Monitoring in Portfolio Management and Issuer Intentionality Scoring, SSRN, www.ssrn.com/abstract=3630302
   • Roncalli, T., Le Guenedal, T., Lepetit, F., Roncalli, T., and Sekine, T. (2020), Measuring and Managing Carbon Risk in Investment Portfolios, SSRN, www.ssrn.com/abstract=3681266
   • Ben Slimane, M., Da Fonseca, D., and Mahtani, V. (2020), Facts and Fantasies about the Green Bond Premium, ResearchGate, www.researchgate.net
   • Le Guenedal, Drobinski, P., and Tankov, P. (2021), Measuring and Pricing Cyclone-Related Physical Risk under Changing Climate, SSRN, www.ssrn.com/abstract=3850673
   • Adenot, T., Brière, M., Counathe, P., Jouanneau, M., Le Berthe, T., and Le Guenedal, T. (2022), Cascading Effects of Carbon Price through the Value Chain and their Impacts on Firm's Valuation, research-center.amundi.com
   • Le Guenedal, T., Lombard, F., Roncalli, T., and Sekine, T. (2022), Net Zero Carbon Metrics, www.ssrn.com/abstract=4033686
3. Academic publications
   • Andersson, M., Bolton, P., and Samama, F. (2016), Hedging Climate Risk, Financial Analysts Journal, www.ssrn.com/abstract=2499628
   • Ardia, D., Bluteau, K., Boudt, K., and Inghelbrecht, K. (2021), Climate Change Concerns and the Performance of Green versus Brown Stocks, National Bank of Belgium, Working Paper, www.ssrn.com/abstract=3717722
   • Battiston, S., Mandel, A., Monasterolo, I., Schütze, F., and Visentin, G. (2017), A Climate Stress-test of the Financial System, Nature Climate Change, www.ssrn.com/abstract=2726076
   • Berg, F. Koelbel, J.F., and Rigobon, R. (2019), Aggregate Confusion: The Divergence of ESG Ratings, Working Paper, www.ssrn.com/abstract=3438533
   • Berg, F., Fabisik, K., and Sautner, Z. (2021), Is History Repeating Itself? The (Un)predictable Past of ESG Ratings, Working Paper, www.ssrn.com/abstract=3722087
   • Bolton, P., and Kacperczyk, M. (2021), Do Investors Care about Carbon Risk?, Journal of Financial Economics, www.ssrn.com/abstract=3594189
   • Bolton, P., Kacperczyk, M., and Samama, F. (2021), Net-Zero Carbon Portfolio Alignment, Working Paper, www.ssrn.com/abstract=3922686
   • Coqueret, G. (2021), Perspectives in ESG Equity Investing, Working Paper, www.ssrn.com/abstract=3715753
   • Crifo, P., Diaye, M.A., and Oueghlissi, R. (2015), Measuring the Effect of Government ESG Performance on Sovereign Borrowing Cost, Quarterly Review of Economics and Finance, hal.archives-ouvertes.fr/hal-00951304v3
   • Dennig, F., Budolfson, M.B., Fleurbaey, M., Siebert, A., and Socolow, R.H. (2015), Inequality, Climate Impacts on the Future Poor, and Carbon Prices, Proceedings of the National Academy of Sciences, www.pnas.org/content/112/52/15827
   • Engle, R.F., Giglio, S., Kelly, B., Lee, H., and Stroebel, J. (2020), Hedging Climate Change News, Review of Financial Studies, www.ssrn.com/abstract=3317570
   • Görgen, M., Jacob, A., Nerlinger, M., Riordan, R., Rohleder, M., and Wilkens, M. (2020), Carbon Risk, Working Paper, www.ssrn.com/abstract=2930897
   • Harris, J. (2015), The Carbon Risk Factor, Working Paper, www.ssrn.com/abstract=2666757
   • Karydas, C., and Xepapadeas, A. (2021), Climate Change Financial Risks: Implications for Asset Pricing and Interest Rates, Working Paper, sites.google.com/view/christoskarydas/research
   • Le Guenedal, T., and Roncalli, T. (2022), Portfolio Construction and Climate Risk Measures, Climate Investing, www.ssrn.com/abstract=3999971
   • Martellini, L., and Vallée, L. (2021), Measuring and Managing ESG Risks in Sovereign Bond Portfolios and Implications for Sovereign Debt Investing, Journal of Portfolio Management, risk.edhec.edu/measuring-and-managing-esg-risks-sovereign-bond
   • Pedersen, L.H., Fitzgibbons, S., and Pomorski, L. (2021), Responsible Investing: The ESG-Efficient Frontier, Journal of Financial Economics, www.ssrn.com/abstract=3466417
   • Pastor, L., Stambaugh, R.F., and Taylor, L.A. (2021), Sustainable Investing in Equilibrium, Journal of Financial Economics, www.ssrn.com/abstract=3498354
   • Roncalli, T., Le Guenedal, T., Lepetit, F., Roncalli, T., and Sekine, T. (2021), The Market Measure of Carbon Risk and its Impact on the Minimum Variance Portfolio, Journal of Portfolio Management, www.ssrn.com/abstract=3772707
   • Van der Beck, P. (2021), Flow-driven ESG returns, Working Paper, www.ssrn.com/abstract=3929359

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