Quantitative Methods for ESG Finance

ISBN-13: 9781119903802 / Angielski / Twarda / 2022 / 170 str.

Cyril Shmatov

Spis treści

Foreword viiIntroduction and Book Overview 11. Overview 12. Why ESG Finance? 23. Why Quantitative Methods? 24. Target Audience and Timing of This Book 25. Book Outline 31 Introduction to ESG Finance 51.1 Preface: ESG Is Not a Niche Strategy Anymore 51.2 Introduction and Definitions 71.3 ESG Investment Performance 211.4 Sustainability and Sustainable Finance 252 Factor Investing and Smart Beta 392.1 Index Construction Basics 392.2 Smart Beta Indexes 402.3 Risk Factor Investing 482.4 Fama- MacBeth Regressions 502.5 Expanding the Risk Factor Universe 533 ESG Ratings 553.1 Introduction 553.2 Overview of ESG Rating Methodologies 573.3 Regression Trees as an Alternative Scoring Technique 613.4 Random Forest 694 Alternative Data 754.1 What Are Alternative Data and Their ESG Applications? 754.2 How to Validate an ESG Data Provider 814.3 Processing Satellite Data 835 Alternative Text Data 1055.1 Alternative Text Data on ESG 1055.2 Corporate ESG Reports 1085.3 Topic Modeling 1145.4 Latent Dirichlet Allocation 1185.5 Outlier Topics 1266 Introduction to Agent- Based Modeling for ESG Finance 1296.1 Preface 1296.2 Use of Agent- Based Models in Other Fields and Their Applicability to ESG Finance 1316.3 Use of ABMs in the ESG Field 1326.4 General Overview of ABMs 1336.5 General Operating Principles of ABMs 1366.6 Example of the PartE Framework Applied to an ESG Scenario 1366.7 Why We Should Look Closely at ABMs 1386.8 Challenges in the Use of ABMs 1396.9 Example: Buildup of a Population Model ABM 1406.10 In- Depth Review: ABMs in Academic and Regulatory Publications 1547 Climate Risk: Macro Perspective 1657.1 Climate Change: Background Information and Definitions 1657.2 Regulatory Response to Climate Change 1857.3 Climate Change Modeling 1917.4 Carbon Risk and Carbon Pricing 1997.5 Climate Risk in Investment Practice 2028 Stress Testing for Banks 2078.1 Stress Testing as a Risk Management Tool 2078.2 Macroeconomic Stress Scenarios for Climate Risk 2138.3 Climate Loss Modeling 2208.4 Climate Stress Testing Exercise 2238.5 Concluding Notes 224Index 227

O autorze

CYRIL SHMATOV, PHD is Head of Enterprise Stress Testing (Managing Director) at Citigroup and Adjunct Associate Professor of Industrial Engineering and Operations Research at Columbia University. An area of particular interest for Cyril is ESG (Environmental, Social and Corporate Governance) Finance, including the management of financial risks associated with Climate Change and the quantitative analysis techniques that make such management possible. Cyril's recent research focuses on leveraging alternative data for Climate Risk quantification and management, including its practical aspects from a financial institution's perspective. Cyril holds a PhD in Applied Mathematics from Columbia University.CINO ROBIN CASTELLI is Director at Citi, Business Unit Manager for Enterprise Risk Management, the area that covers, amongst other topics, Climate Risk. Prior to this position, Robin was the Chief Strategy Officer for Quantitative Risk and Stress Testing, the division of Risk tasked with developing all the quantitative models used for Market Risk, Counterparty Risk, Credit and Obligor Risk Analytics, Risk Capital Analytics, and Stress Testing. Robin is also co-founder and former Executive VP for Business Development at MacroUSA, in the field of Unmanned Ground Vehicles, and prior to that, co-founder, CEO and president of Macroswiss SA. Robin holds a Bachelor's Degree and a Master's Degree in Molecular Biology, summa cum laude, from Università degli Studi di Milano-Bicocca, with an evolutionary biology thesis on "Chromosomal rearrangements as speciation mechanisms."