RONCALLI Thierry
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Working Paper 6.04.2022 Multi-Period Portfolio Optimization and Application to Portfolio Decarbonization

This research project is both an update of the analysis on carbon emissions trajectories proposed by Le Guenedal et al. (2020) and a companion study of the climate risk measures defined by Le Guenedal and Roncalli (2022).

More > 10 minutes
RC - 2022.04 - Insight Paper
Insights Paper 1.04.2022 When artificial intelligence meets economy: an analysis of the Ukraine war

Understanding how artificial intelligence could help analyse the current state of the international situation in order to provide some projections on the future.

More > 10 minutes
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Thematic Paper 18.03.2022 Shifts & Narratives #15 - The Green risk premium and the performance(s) of ESG investing

Understanding the question of the Green risk premium and ESG performance.

More > 10 minutes
RC - 2022-02 - GIV - Header
Working Paper 15.02.2022 Net Zero Carbon Metrics

This research project is both an update of the analysis on carbon emissions trajectories proposed by Le Guenedal et al. (2020) and a companion study of the climate risk measures defined by Le Guenedal and Roncalli (2022).

More > 10 minutes
Working Paper
Working Paper 3.01.2022 Portfolio Construction with Climate Risk Measures

Because of the 2015 Paris Agreement, the development of ESG investing and the emergence of net zero emission policies, climate risk is certainly the most important topic and challenge for asset owners and managers now and will remain so over the next five years.

More > 10 minutes
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Working Paper 9.12.2021 Liquidity Stress Testing in Asset Management - Part 4. A Step-by-step Practical Guide

This article is part of a comprehensive research project on liquidity risk in asset management, which can be divided into three dimensions. The first dimension covers liability liquidity risk (or funding liquidity) modeling, the second dimension focuses on asset liquidity risk (or market liquidity) modeling, and the third dimension considers the asset-liability management of the liquidity gap risk (or asset-liability matching).

More > 10 minutes
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Working Paper 23.11.2021 ESG and Sovereign Risk - What is Priced in by the Bond Market and Credit Rating Agencies?

In this paper, we examine the materiality of ESG on country creditworthiness from a credit risk analysis viewpoint. To address this, we consider a granular set of 269 indicators within the three ESG pillars to determine what the sovereign bond market is pricing in.

More > 10 minutes
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Working Paper 6.10.2021 Liquidity Stress Testing in Asset Management - Part 3. Managing the Asset-Liability Liquidity Risk

This article is part of a comprehensive research project on liquidity risk in asset management, which can be divided into three dimensions.

More > 10 minutes
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Working Paper 18.05.2021 Liquidity Stress Testing in Asset Management - Part 2. Modeling the Asset Liquidity Risk

This article is part of a comprehensive research project on liquidity risk in asset management, which can be divided into three dimensions. The first dimension covers liability liquidity risk (or funding liquidity) modeling, the second dimension focuses on asset liquidity risk (or market liquidity) modeling, and the third dimension considers the asset-liability management of the liquidity gap risk (or asset-liability matching).

More > 10 minutes

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