RONCALLI Thierry

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Working Paper 26.02.2021 Understanding the Performance of the Equity Value Factor
125

After decades of sound performance, doubts have been cast on the ability of the equity value strategy to keep delivering in the aftermath of the 2008 Global Fin...

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  • 125
Working Paper
Working Paper 26.01.2021 The Market Measure of Carbon Risk and its Impact on the Minimum Varian...
90

Like ESG investing, climate change is an important concern for asset managers and owners, and a new challenge for portfolio construction.

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  • 90
Working Paper
Working Paper 5.01.2021 Liquidity Stress Testing in Asset Management
41

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

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  • 41
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Working Paper 26.08.2020 Measuring and Managing Carbon Risk in Investment Portfolios
84

This article studies the impact of carbon risk on stock pricing.

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Working Paper 7.07.2020 Improving the Robustness of Trading Strategy Backtesting with Boltzman...
60

In this article, we explore generative models in order to build a market generator. The underlying idea is to simulate artificial multi-dimensional financial ti...

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  • 60
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Insights Paper 15.05.2020 ESG & Factor Investing: a new stage has been reached
76

ESG Investing is evolving extremely rapidly, in Europe and abroad.

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Pension Funds letter
Letter 12.03.2020 Amundi Pension Funds Letter n°8
88

Expanding Green Fixed Income Markets: Let’s Do It Now!

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  • 88
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Working Paper 10.02.2020 ESG Investing in Corporate Bonds: Mind the Gap
78

This research is the companion study of three previous research projects conducted at Amundi that address the issue of socially responsible investing (SRI) in t...

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  • 78
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Discussion Paper 13.01.2020 ESG Investing in Recent Years: New Insights from Old Challenges
39

This research is an update of the study that we published last year (Bennani et al., 2018) and that explored the impact of ESG investing

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