Academic Publications

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Climate Output at Risk

Author(s) :
Riccardo Rebonato, Dherminder Kainth, Lionel Melin
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

Author(s) :
Giacomo Bressan, Irene Monasterolo, Stefano Battiston
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

Author(s) :
Andrew Kruczkiewicz, Fabio Cian, Irene Monasterolo, Giuliano Di Baldassarre, Astrid Caldas, Moriah Royz, Margaret Glasscoe, Nicola Ranger, Maarten van Aals
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

Author(s) :
Lionel Martellini, Vincent Milhau
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

Author(s) :
Riccardo Rebonato, Taku Hatano
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

Author(s) :
Nicola Ranger, Olivier Mahul, and Irene Monasterolo
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

Author(s) :
Andrew K.Ringsmuth, Ilona M.Otto, Bart van den Hurk, Glada Lahn, Christopher P.O.Reyer,Timothy R.Carter, Piotr Magnuszewski, Irene Monasterolo, Jeroen C.J.H.Aerts, Magnus Benzie, Emanuele Campiglio, Stefan Fronzek, Franziska Gaupp, Lukasz Jarzabek...
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

Author(s) :
Irene Monasterolo, Nepomuk Dunz, Andrea Mazzocchetti, Régis Gourdel
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

Author(s) :
Romain Deguest, Lionel Martellini, Vincent Milhau
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

Author(s) :
Luma Ramos, Kevin P. Gallagher, Corinne Stephenson, Irene Monasterolo
Climate Policy, December 2021

Can the portfolio excess growth rate explain the predictive power of idiosyncratic volatility?

Author(s) :
Daniel Mantilla-Garcia, Juliana Malagon, Julian R.Aldana-Galindo
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

Author(s) :
Lionel Martellini, Riccardo Rebonato and Jean-Michel Maeso
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

Author(s) :
Christopher D.Westa, Emilie Stokeld, Emaan König, Hanne Knaepen, Piotr Magnuszenuele Campiglio, Simon Croft, Adrien Detges, Anja Duranovic, Adrianvon Jagow, Łukasz Jarząbeke, Christiwskie, Irene Monasterolo, Christopher P.O.Reyer
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)

Author(s) :
Nicola Ranger, Olivier Mahul, Irene Monasterolo
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

Author(s) :
Asjad Naqvi, Irene Monasterolo
Nature, October 2021. Natural disasters negatively impact regions and exacerbate socioeconomic vulnerabilities. While the ...

Measuring and Managing the Opportunity Cost of Downside Risk Protection

Author(s) :
Nicole Beevers, Hannes Du Plessis, Lionel Martellini and Vincent Milhau
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

Author(s) :
Stefano Battiston, Irene Monasterolo, Keywan Riahi, Bas J. Van Ruijven
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

Author(s) :
Nepomuk Dunz, Arthur Hrast Essenfelder, Andrea Mazzocchetti, Irene Monasterolo, Marco Raberto
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

Author(s) :
Lionel Martellini, Lou-Salomé Vallée
The Journal of Portfolio Management, Vol. 48, Issue 2, Quantitative Special Issue 2022.   This article shows that...

Is convexity efficiently priced? Evidence from international swap markets

Author(s) :
Riccardo Rebonato, Riccardo Ronzani
Journal of Empirical Finance, Volume 63, September 2021, Pages 392-413. While it is widely claimed in the literature that convexity is correctly...