A great success for the webinar: Where is The Climate Risk Premium?
Written on 04 Jul 2023.
A great success for the webinar ‘Where is the Climate Risk Premium’ held on June 29, with over 900 professionals registered from 70 countries, to gain insight from EDHEC-Risk Climate Impact Institute Scientific Director Riccardo Rebonato.
Establishing whether "green" and carbon-intensive assets carry a positive or negative risk premium matters a lot for investment managers, because it determines whether these assets act as hedges, or they add to equity risk. Unfortunately, attempts to estimate the climate risk premium empirically have met with near-insurmountable difficulties and leave the practitioner puzzled.
During the webinar, organised by EDHEC-Risk Climate Impact Institute, the latest recipient of the PMR Quant Researcher of the Year award explained what one may learn about the climate risk premium by employing a state-of-the-art integrated modeling approach, and discussed investment implications.
Topics covered included:
- The climate risk premium: what it is and why investors should care
- Hedging climate risk: when is it possible and when should one hedge?
- Are "green" assets hedges or do they add to equity risk?
- What is the term structure of the climate risk premium: are long- or short-dated assets more strongly affected?
- How does the climate risk premium depend on future abatement policies?
- How 'robust' are these results to climate uncertainties and model limitations?
- Is the market asleep at the wheel?
To watch the replay of the webinar, follow this link or see the video below:
Contact us at [email protected] to access the slides of the presentation.
For practioners you wish to gain more insight into the research led by Professor Rebonato, we invite you to read some of his recent contributions:
• an op-ed in the Financial Times calling for new tools to model climate risks.
• an article on What integrated assement models can tell us about asset prices that appeared in the EDHEC Climate+Finance supplement to Investment & Pensions Europe and Pensions & Investments and in our inaugural Newsletter.
• the working paper version of the article titled Asleep at the Wheel? The Risk of Sudden Price Adjustments for Climate Risk, forthcoming in the Journal of Portfolio Management.
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.
