Academic Publications
Optimal Climate Policy with Negative Emissions
We can limit the future temperature impact of climate change in two ways:
(i) reducing our use of CO2 emitting fuels as an energy source (...
Climate Output at Risk
The Journal of Portfolio Management Novel-Risks 2022, Vol. 48, Issue 10
Investors and regulators are increasingly concerned that...
Sustainable investing and climate transition risk: a portfolio rebalancing approach
The Journal of Portfolio Management Novel-Risks 2022, Vol. 48, Issue 8
The authors study how greenness can be combined with other...
Multiform flood risk in a rapidly changing world: what we do not do, what we should and why it matters
Environmental Research Letters, Volume 17, Number 8
On a global scale, recent environmental, public health, socioeconomic and political...
Capital structure choices, pension fund allocation decisions and the rational pricing of liability streams
Journal of Pension Economics & Finance, Volume 21, Issue 3 , July 2022, pp. 425 - 445
This paper introduces an integrated asset-...
Why Does the Cieslak–Povala Model Predict Treasury Returns? A Reinterpretation
The Journal of Fixed Income, Vol. 31, Issue 4, Spring 2022
This article presents a simple reformulation of the restricted...
Assessing Financial Risks from Physical Climate Shocks: A Framework for Scenario Generation
Climate change has become a main concern of ministries of finance, central banks, and financial regulators. In response, a suite of scenarios and...
Lessons from COVID-19 for managing transboundary climate risks and building resilience
Climate Risk Management, Volume 35
COVID-19 has revealed how challenging it is to manage global, systemic and compounding crises. Like COVID-19,...
Derisking the low-carbon transition: investors’ reaction to climate policies, decarbonization and distributive effects
Review of Evolutionary Political Economy, 2022
The role of climate finance policies and instruments in scaling up and derisking low-carbon...
An Empirical Analysis of the Benefits of Corporate Bond Portfolio Optimization in the Presence of Duration Constraints
The Journal of Fixed Income, Vol. 31, Issue 3, Winter 2022
This article analyzes the out-of-sample performance of portfolio...
Climate risk and IMF surveillance policy: a baseline analysis
Climate Policy, December 2021
Can the portfolio excess growth rate explain the predictive power of idiosyncratic volatility?
Finance Research Letters, Wiley, December 21.
Authors unveil a theoretical link between the portfolio excess growth rate (EGR) and two measures of...
Cross-Sectional and Time-Series Momentum in the US Sovereign Bond Market
The Journal of Fixed Income, Vol. 31, Issue 3 Winter 2022.
In this article, authors undertake a systematic, security-level analysis of...
Europe's cross-border trade, human security and financial connections: A climate risk perspective
Climate Risk Management Volume 34, 2021.
As the impacts of climate change begin to take hold, increased attention is being paid to the...
Managing the financial risks of climate change and pandemics: What we know (and don’t know)
PERSPECTIVE| VOLUME 4, ISSUE 10, P1375-1385, OCTOBER 22, 2021.
The COVID-19 pandemic is generating the largest shock in the global...
Assessing the cascading impacts of natural disasters in a multi-layer behavioral network framework
Nature, October 2021.
Natural disasters negatively impact regions and exacerbate socioeconomic vulnerabilities. While the ...
Measuring and Managing the Opportunity Cost of Downside Risk Protection
The Journal of Portfolio Management November 2021, Vol. 47, Issue 10 Special Real Estate Issue 2021.
Portfolio insurance targets the elimination...
Accounting for finance is key for climate mitigation pathways
Science Vol 372, Issue 6545.
The financial system—the ecosystem of investors (e.g., banks, investment funds, insurance), markets, and instruments—...
Compounding COVID-19 and climate risks: The interplay of banks’ lending and government’s policy in the shock recovery
Journal of Banking & Finance, Volume 136, March 2022.
Authors assess the individual and compounding impacts of COVID-19 and...
Measuring and Managing ESG Risks in Sovereign Bond Portfolios and Implications for Sovereign Debt Investing
The Journal of Portfolio Management, Vol. 48, Issue 2, Quantitative Special Issue 2022.
This article shows that...
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About EDHEC
Operating from campuses in Lille, Nice, Paris, London and Singapore, EDHEC is one of the world’s top 15 business schools. Fully international and directly connected to the business world, EDHEC commands a strong reputation for research excellence and the ability to train entrepreneurs and managers capable of breaking new ground. EDHEC functions as a genuine laboratory of ideas and produces innovative solutions valued by businesses. The School’s teaching is inspired by its research work and a focus on “learning by doing”, all with the aim of equipping people with the skills to succeed in business.
