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Working paper

Working paper

26.01.2021 - Working Paper

The Market Measure of Carbon Risk and its Impact on the Minimum Variance Portfolio

Like ESG investing, climate change is an important concern for asset managers and owners, and a new challenge for portfolio construction. Until now, investors have mainly measured carbon risk using fundamental approaches, such as with carbon intensity metrics. Nevertheless, it has not been proven that asset prices are directly impacted by these fundamental-based measures. In this paper, we focus on another approach, which consists in measuring the sensitivity of stock prices with respect to a carbon risk factor. In our opinion, carbon betas are market-based measures that are complementary to carbon intensities or fundamental-based measures when managing investment portfolios, because carbon betas may be viewed as an extension or forward-looking measure of the current carbon footprint. In particular, we show how this new metric can be used to build minimum variance strategies and how they impact their portfolio construction.

Théo RONCALLI, Theo LE GUENEDAL, Fréderic LEPETIT, Thierry RONCALLI, Takaya SEKINE

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15.12.2020 - Insights Paper

Sustainability-linked bonds: nascent opportunities for ESG investing

Since the creation of green bonds, many new labels have emerged, including social bonds, sustainability bonds, and recently transition bonds, not to mention water, blue or adaptation bonds. Despite the standardisation efforts led by the International Capital Markets Association (ICMA), creativity in self-labelling has increased the number of labels. Whereas the type of activities financed by these various bond labels differ, they are all anchored to the same initial concept and to a pledge by issuers that the proceeds will be dedicated to a predetermined list of eligible projects. These are ‘use-of-proceeds’ bonds.

Alban DE FAY, Erwan CREHALET

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11.12.2020 - Insights Paper

Responsible investing expands further with green convertible bonds

While investors have been aware of the merits of investing responsibly for a long time, the Covid-19 crisis is likely to increase the focus on ESG principles, which should play a critical role in the emergence from the crisis.

Erwan CREHALET, Alban DE FAY, Julia KUNG

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Vignette

01.10.2020 - Podcast

Blue Research - Carbon price and credit default: introducing the carbon price margin

The unprecedented transition associated to achieving the goals of the Paris Agreement generates a transition risk for the financial system. Identifying the exposure of investment portfolios to such risks faces various challenges.

Working paper

Working paper

26.08.2020 - Working Paper

Measuring and Managing Carbon Risk in Investment Portfolios

This article studies the impact of carbon risk on stock pricing. To address this, we consider the seminal approach of Görgen et al. (2019), who proposed estimating the carbon financial risk of equities by their carbon beta.

Théo RONCALLI, Theo LE GUENEDAL, Fréderic LEPETIT, Thierry RONCALLI, Takaya SEKINE

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Vignette

29.06.2020 - Podcast

Blue Research - The “Day After” series #7 – Climate change post Covid-19: a crisis at a crossroad

2020 was supposed to be the year when policy makers, corporates, and investors charged ahead in the fight against climate change. Instead, it is the year of the coronavirus pandemic. The COP26 has been postponed, climate strikes are cancelled, and the European Commission’s ability to push through the Green Deal has yet to be proven. However, while the global lockdowns are sure to make a dent in global emissions for 2020, it remains to be seen whether climate change will fight its way into the recovery or become sacrificed yet again. Alice de Bazin, Head of Institutional Offering and Solutions department, Théophile Pouget-Abadie and Tobias Hessenberger, both working in Business solutions and innovation team, discuss the topic with Tom Burges-Watson.

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16.06.2020 - Expert Talk

The day after #7 - Climate change post Covid-19: A crisis at a crossroad

This year was supposed to be the year when policymakers, corporates and investors charged ahead in the fight against climate change. After the disappointing COP25 in Madrid, shocking wildfires in Australia at the end of 2019, an ambitious plan emerged from the European Union to tackle climate change head on with its Green Deal.

Alice DE BAZIN, Tobias HESSENBERGER, Théophile POUGET-ABADIE

Working paper

Working paper

28.05.2020 - Working Paper

Trajectory Monitoring in Portfolio Management and Issuer Intentionality Scoring

2°C alignment has become a major issue for climate-aware portfolio management. There are sophisticated initiatives aiming to predict corporate emission intensities from 2030 up to 2100.

Theo LE GUENEDAL, Julien GIRAULT, Mathieu JOUANNEAU, Fréderic LEPETIT, Takaya SEKINE

Working paper

Working paper

07.04.2020 - Working Paper

Credit Risk Sensitivity to Carbon Price

In order to meet the objectives set by the Paris Climate Agreement, global greenhouse gas emissions must be drastically reduced.

Vincent BOUCHET, Theo LE GUENEDAL

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