The 20th Anniversary Quantitative Finance Conference

Riccardo Rebonato to Address Climate Risk at the 20th Quantitative Finance Conference

The 20th Quantitative Finance Conference, taking place from 25 to 27 September 2024 in Cannes, France, will cover some of the most critical issues in quantitative finance. This year’s event will be structured around three key themes: the use of Generative AI and Large Language Models, developments in Volatility, Options, and Trading, and the latest innovations in Modelling Techniques. These streams will feature presentations from industry leaders, addressing the cutting-edge research and practical applications that are shaping the future of finance.

A key highlight of the conference will be the presentation by Professor Riccardo Rebonato, Scientific Director Of EDHEC-Risk Climate Impact Institute. On 26 September 2024, Professor Rebonato will present on the topic of “What is the Impact of Physical Climate Risk on Equity Valuation?”, exploring how physical climate risks, such as extreme weather events and long-term environmental changes, impact the financial valuation of equity markets.

Professor Rebonato will present findings from his recent paper, "How Does Climate Risk Affect Global Equity Valuations? A Novel Approach", which addresses the shortcomings of current climate-aware valuation methods and offers new insights. His research, supported by Scientific Beta, shows that climate risk can have a significant effect on global equity valuations, particularly in scenarios where climate action is insufficient. The study introduces a new framework combining asset pricing techniques with Integrated Assessment Models, offering a fully probabilistic treatment of climate and economic uncertainties, state-dependent discounting, and a thorough analysis of transition costs and physical damages.

His session will cover key topics, including:

Transition Risk vs. Physical Risk: Which is More Important?
Plausible Ranges of Equity Revaluation
The Importance of Discounting
Are Damages Already in the Prices?
Headwind versus Minsky Moment

For more information and registration details, visit the Quantitative Finance Conference website.

Date

Thursday 26/09/2024 - Thursday 26/09/2024

Place

Canopy by Hilton Cannes, 2 Bd Jean Hibert, 06400 Cannes, France

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.

About EDHEC-Risk Climate Impact Institute

Marking the priority assigned by the School to sustainability issues and building on its research programmes exploring the relationships between climate change and finance, EDHEC-Risk Institute became EDHEC-Risk Climate Impact Institute in October 2022. The Institute's mission is to help private and public decision-makers manage climate-related financial risks and make the best use of the financial tools available to transition to low-emission and climate-resilient economies. The Institute’s research programmes explore the relationships between climate change and finance and our key ambition is to become a leading academic reference point for long-term investors, helping them to manage the asset-pricing implications of climate change as well as mitigation and adaptation efforts.