Sustainable Finance

This is an advanced course on sustainable finance (theory and applications). The course is offered at the University of Evry/Paris-Saclay, ENSAE and University of Paris Cité.

Description

• Introduction
• ESG Investing
• Exercise: Probability Distribution of an ESG Score
• Impact of ESG Investing on Asset Prices and Portfolio Returns
• Exercise: Equity Portfolio Optimization with ESG Scores
• Sustainable Financial Products
• Impact Investing
• Biodiversity
• Exercise: Calculating the Prevalence of Undernourishment
• Engagement & Voting Policy
• Extra-financial Accounting
• Awareness of Climate Change Impacts
• The Ecosystem of Climate Change
• Economic Models & Climate Change
• Climate Risk Measures
• Transition Risk Modeling
• Climate Portfolio Construction
• Exercise: Equity and Bond Portfolio Optimization with Green Preferences
• Physical Risk Modeling
• Climate Stress Testing & Risk Management

Materials

• Textbook: Roncalli, T. (2024), Handbook of Sustainable Finance (1272 pages)

• Download the Presentation Slides on Sustainable Finance (2018 pages)

• Download the presentation slides
  1. Lecture 1 (Introduction)
  2. Lecture 2 (ESG Scoring)
  3. Lecture 2 (Exercise: Probability Distribution of an ESG Score)
  4. Lecture 3 (Impact of ESG Investing on Asset Prices and Portfolio Returns)
  5. Lecture 3 (Exercise: Equity Portfolio Optimization with ESG Scores)
  6. Lecture 4 (Sustainable Financial Products)
  7. Lecture 5 (Impact Investing)
  8. Lecture 6 (Biodiversity)
  9. Lecture 6 (Exercise: Calculating the Prevalence of Undernourishment)
  10. Lecture 7 (Engagement & Voting Policy)
  11. Lecture 8 (Extra-financial Accouting)
  12. Lecture 9 (Awareness of Climate Change Impacts)
  13. Lecture 10 (The Ecosystem of Climate Change)
  14. Lecture 11 (Economic Models & Climate Change)
  15. Lecture 12 (Climate Risk Measures)
  16. Lecture 13 (Transition Risk Modeling)
  17. Lecture 14 (Climate Portfolio Construction)
  18. Lecture 14 (Exercise: Equity and Bond Portfolio Optimization with Green Preferences)
  19. Lecture 15 (Physical Risk Modeling)
  20. Lecture 16 (Climate Stress Testing and Risk Management)
• Download the Merged PDF File of the 16 lectures
• Download the TeX Source of the slides

• Download examination 2022, 2023, 2024.

Old version of the slides (2023)

• Download the Presentation Slides on Sustainable Finance (1114 pages)

• Download the presentation slides
  1. Lecture 1 (Introduction)
  2. Lecture 2 (ESG Scoring)
  3. Lecture 3 (Impact of ESG Investing on Asset Prices and Portfolio Returns)
  4. Lecture 4 (Equity Portfolio Optimization with ESG Scores)
  5. Lecture 5 (Sustainable Financial Products, Impact Investing & Engagement)
  6. Lecture 6 (Global Warning & Climate Change)
  7. Lecture 7 (Economic Modeling of Climate Change)
  8. Lecture 8 (Climate Risk Measures)
  9. Lecture 9 (Transition Risk Modeling)
  10. Lecture 10 (Climate Portfolio Construction)
  11. Lecture 11 (Equity and Bond Portfolio Optimization with Green Preferences)
  12. Lecture 12 (Physical Risk Modeling)
  13. Lecture 13 (Climate Stress Testing and Risk Management)
• Download the Merged PDF File of the 13 lectures
• Download the TeX Source of the slides

Old version of the slides (2022)

• Download the Presentation Slides on ESG & Climate Risks (736 pages)

• 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

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