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World Business StrategiesServing the Global Financial Community since 2000

Thursday 18th March: Day 4

Portfolio Alignment to a 2°C Degree Trajectory: Science or Art?

EST: 08.00
GMT: 13.00
CET: 14.00

Abstract: The concept of portfolio alignment to a temperature trajectory has gained momentum among investors and regulators since the 2015 Paris Agreement recognized the importance of the financial sector for the low carbon energy transition. Yet, a clear definition and a transparent methodological framework for alignment assessment with a temperature trajectory, or portfolio temperature alignment, were lacking and few academic studies addressed this question. In this talk, we shall provide a definition of portfolio temperature alignment, review the key methodological steps in computing alignment measures, and highlight the main scientific challenges, with the aim to stimulate further research on this topic. We shall review, analyze and place in context the main findings of the “Alignment cookbook”:  technical review of portfolio temperature alignment assessment methodologies by Institut Louis Bachelier.

https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3644171

https://gsf.institutlouisbachelier.org/publication/the-alignment-cookbook-a-technical-review-of-methodologies-assessing-a-portfolios-alignment-with-low-carbon-trajectories-or-temperature-goal/

  • What is portfolio alignment assessment and how it relates to transition risk and environmental impact measures
  • Review of key methodological steps, tradeoffs and research questions in portfolio alignment assessment
  • Zoom on implied portfolio temperature rise metrics
  • Comparison of portfolio alignment assessment measures developed by different data providers

 

Peter Tankov:

ENSAE, Institut Polytechnique de Paris and Institut Louis Bachelier

Peter Tankov: ENSAE, Institut Polytechnique de Paris and Institut Louis Bachelier

Peter Tankov is professor of quantitative finance at ENSAE, the French national school for statistics and economic administration, having previously worked at Paris-Diderot (Paris 7) university and Ecole Polytechnique. He is a mathematician, specialist in applied probability and stochastic processes. His current research interests include quantitative finance, energy finance, and green and sustainable finance. Peter is the author of over 50 research articles on these and other topics and of the widely read book, Financial Modelling with Jump Processes. He is the recepient of the 2016 Best Young Researcher in Finance award of the Europlace Institute of Finance and the principal investigator of several national grants. Peter is the scientific director of the Green and Sustainable Finance Research Program at Louis Bachelier Institute, member of the board of directors of GRASFI, the Global Research Alliance for Sustainable Finance and and Investment, and member of editorial boards of the main quantitative finance journals: Mathematical Finance, Finance and Stochastics and SIAM Journal on Financial Mathematics.

https://www.ensae.fr/en/faculty/peter-tankov/

https://sites.google.com/site/petertankov

Machine Learning Applications in Trading & ESG Investing

EST: 09.00
GMT: 14.00
CET: 15.00

Presenter to be confirmed

 

Blanka Horvath:

Honorary Lecturer, Department of Mathematics, Imperial College London

Blanka Horvath: Honorary Lecturer, Department of Mathematics, Imperial College London

Blanka is a Honorary Lecturer in the Department of Mathematics at Imperial College London and a Lecturer at King’s College London. Her research interests are in the area of Stochastic Analysis and Mathematical Finance.

Her interests include asymptotic and numerical methods for option pricing, smile asymptotics for local- and stochastic volatility models (the SABR model and fractional volatility models in particular), Laplace methods on Wiener space and heat kernel expansions.

Blanka completed her PhD in Financial Mathematics at ETHZürich with Josef Teichmann and Johannes Muhle-Karbe. She holds a Diploma in Mathematics from the University of Bonn and an MSc in Economics from the University of Hong Kong.

Trading with Extreme Weather

EST: 10.00
GMT: 15.00
CET: 16.00

Ivailo Dimov:

Quant and Data Science Research, Bloomberg LP – Adjunct Professor, NYU Courant

Ivailo Dimov: Quant and Data Science Research, Bloomberg LP – Adjunct Professor, NYU Courant Institute

Ivailo Dimov is a senior quant at the Bloomberg L.P. CTO Office, where he provides quantitative and data science solutions to management, external and internal clients. He has worked on both traditional derivative, risk and alpha modeling as well as alternative data research. At Bloomberg, he has led projects on market consensus, broker-algo selection, recommendation systems, automated news and news topic modeling. Ivailo is also an Adjunct Professor at the NYU Courant Institute, where he teaches Data Science in Quantitative Finance.

Trading Carbons Permits

EST: 11.00
GMT: 16.00
CET: 17.00

Bruno Kamdem:

Professorial Lecturer, School of Engineering & Applied Science | The George Washington University

Bruno Kamdem: Professorial Lecturer, School of Engineering & Applied Science | The George Washington University

Bruno Kamdem is the Co‑founder and Principal of Lepton Actuarial & Consulting, LLC (http://leptonactuarial.com/), a New York based professional firm. Dr. Kamdem concomitantly teaches at the George Washington University, School of Engineering and Applied Science in the department of Engineering Management & Systems Engineering. Prior to consulting and teaching, he worked with the Office of Research, Evaluation, & Statistics at the Social Security Administration where he advised the commissioner on mathematical statistical trends regarding Medical‑ Vocational Guidelines and formulated models involving retirement probabilities for multiple years designed for optimizing individual retirement decisions. Bruno has published articles at the “Renewable & Sustainable Energy Reviews” (Impact Factor: 12.110) and the “Energy Policy” journal, along with two forthcoming papers at the “Review of Economics and Statistics” and “Econometrica”. For several years, Bruno has accumulated experience in teaching and in working with Analysis & Modeling tools (iThink, GAMS, MINITAB, MATHEMATICA, MAPLE), Applications & Operating Systems (System Dynamics, SAS‑Visual Analytics, e‑Enterprise, MATLAB‑Simulink), and Data Management applications (VBA, R, SAS, MATLAB). Bruno’s background encompasses a Ph.D. (Systems Engineering, Operations Research) from the School of Engineering and Applied Science at the George Washington University, an M.S. (Applied Mathematics), and B.S. (Mathematics & Economics), both from the University of Maryland, Baltimore County.

  • Discount Structure
  • Early bird discount
    15% until 19th February 2021

  • Special Offer
    When two colleagues attend the 3rd goes free!

  • 70% Academic Discount
    (FULL-TIME Students Only)

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