QUANT INSIGHTS CONFERENCE:
ESG & Climate Risk in Quant Finance
29th September 2022
12:30 - 18:40 CEST
11:30 - 17:40 BST
Brought to you by
CQF Institute, Fitch Learning, and Wilmott
About the Conference
Quant Insights is back this September with a one day event focusing exclusively on the latest trends and insights in ESG and Climate Risk in Quant Finance. This event will be held online and will bring together some of the biggest names in quantitative finance.
Tickets are free for all CQF Institute members and include: access to all talks and panels, breakout and networking activities, plus 30 days of video on demand. Become a CQF Institute member for free to claim your complimentary ticket today.
Confirmed speakers and panelists. Click on the images below to explore abstracts and biographies.
Professor Robert Engle
Professor Emeritus of Finance
New York University Stern School of Business
Climate Financial Risk: Portfolios And Stress Tests
How should investors use ESG to form portfolios? Several optimality criteria will be discussed. Both statistical and fundamental analysis of climate hedge portfolios will be presented. A Climate Efficient Factor Mimicking Portfolio will be defined as a portfolio of publicly available ESG portfolios. Its performance in the pandemic and more recently is examined and illustrated on VLAB. These climate hedge portfolios are then used to assess the climate sensitivity of banks by using the Dynamic Conditional Beta statistical procedure to get a climate beta. The presentation will illustrate the findings on financial stability with respect to climate risk. Capital adequacy with respect to climate scenarios will be defined as CRISK and Marginal CRISK and their chief determinants and robustness will be examined.
Professor Robert Engle, Professor Emeritus of Finance, New York University Stern School of Business
Robert Engle, Professor Emeritus of Finance at New York University Stern School of Business, was awarded the 2003 Nobel Prize in Economics for his research on the concept of autoregressive conditional heteroskedasticity (ARCH). He developed this method for statistical modeling of time-varying volatility and demonstrated that these techniques accurately capture the properties of many time series. Professor Engle shared the prize with Clive W. J. Granger of UCSD. Professor Engle is the Co-Director of the Volatility and Risk Institute at NYU Stern. In this role he has developed research tools to track risks in the global economy and make these publicly available on the V-LAB website.
Professor Amir Amel Zadeh
Saïd Business School, University of Oxford
Professor Amir Amel Zadeh, Associate Professor, Saïd Business School, University of Oxford
Amir Amel-Zadeh is Associate Professor at Saïd Business School, University of Oxford, associate member of the Oxford-Man Institute for Quantitative Finance and member of the UK Endorsement Board. Amir’s research broadly investigates the capital market effects of financial and non-financial disclosures. Prior to joining Saïd Business School, Amir held a position as Assistant Professor at Judge Business School, University of Cambridge, and prior to that worked at Lehman Brothers in London. He received his PhD in Finance from the University of Cambridge. He teaches fundamental analysis on the Oxford MBA and sustainable investing on executive programmes. He has taught or consulted for the financial services industry globally and is currently academic advisor to PanAgora Asset Management.
Diana Ouamar, Managing Director, Rima Consulting
Diana is the Managing Director of Rima Consulting Limited. She has more than 14 years’ experience in risk management developed in rating agencies, investment banking, consulting, and private equity. Diana is involved in defining ESG strategy in financial services.
As a Senior Regulatory Risk consultant, she follows closely and interprets the banking regulations focusing on Market Risk, Counterpart Credit Risk and Climate Risk. She has participated in numerous strategic programs to comply with the regulatory requirements and has a proven track record in delivering high profile regulatory driven change projects within the Risk Management and Operations functions across the US & European Tier-1 Investment Banks.
Diana began her career at Calyon Investment Bank in Paris and Fitch Ratings Agency in London as a corporate credit analyst. She developed her risk management experience at Moody’s Investors Services in London, and then at Rule Financial (GFT) as a Regulatory Risk Consultant.
Diana holds a Msc in Finance from the University of London and an Msc in Economics from University of Paris-Panthéon-Sorbonne. She recently received the Certificate of Achievement on “Climate Change: Financial risks and opportunities” from Imperial College Business School and she is currently attending courses on “Sustainable Finance” from University of Cambridge.
Professor Laurens Swinkels
Head of Quant Strategy at Sustainable Multi-Asset Solutions
Professor Laurens Swinkels, Head of Quant Strategy at Sustainable Multi-Asset Solutions, Robeco
Laurens Swinkels is Associate Professor of Finance at Erasmus University in Rotterdam and Executive Director and Head of Quant Strategy at Robeco’s Sustainable Multi-Asset Strategies team. His areas of expertise include allocation research and empirical asset pricing. He teaches Finance courses and has published his academic work in peer-reviewed journals such as Journal of Financial Economics. Prior to re-joining Robeco in 2016, he was a Researcher at Norges Bank Investment Management. He was a Researcher at Robeco from 2004 to 2012 and at PensionFactory and APG Asset Management from 1999 to 2004. Laurens is member of the Research Committee of Inquire Europe. Laurens holds a PhD in Finance and a Master’s in Econometrics from Tilburg University in the Netherlands.
Managing Director & Head of ESG Research
AQR Capital Management
Supply Chain Climate Exposure
Investors are seeking good quality information on climate risk exposure of their investments and are often stymied by the lack of accuracy and breadth of available data. To address this issue, we combine scope 1 and 2 emissions data, one of the highest quality metrics available, with supply chain information on corporates to create a novel and intuitive supply chain climate risk measure. This metric can generate powerful insights because some companies may seem green on traditional climate data, but may have material climate risk exposure if they do more business with firms that themselves face climate risks.
The strength of the metric is that it utilizes raw data that are broadly accessible and that are of higher quality than alternatives such as scope 3 emissions. This has allowed us to look at applications across broad universes of securities and empirically validate our work, showing for example that our measure helps explain stock price movements around climate news.
We also discuss applications of our framework for risk measurement, enhancing investment views, corporate reporting and identifying targets for engagement. We conclude that our metric’s intuitive definition and transparency should be appealing for both investors and corporate decision makers.
Lukasz Pomorski, Managing Director and Head of ESG Research, AQR Capital Management
Lukasz Pomorski is a Managing Director and Head of ESG Research at AQR Capital Management. He is responsible for the planning and oversight of the firm’s responsible investment research efforts across all asset classes. Lukasz is a member of the PRI’s Hedge Fund Advisory Committee he serves on Qontigo’s Sustainable Investment Advisory Board. Additionally, Lukasz is a lecturer at Yale University, where he teaches a course on ESG Investing. Prior to AQR, Lukasz was an Assistant Director for Research at the Bank of Canada and an Assistant Professor of Finance at the University of Toronto. His research on ESG, alpha signals, and portfolio construction has been published in top academic and practitioner journals and won several best paper awards. Lukasz earned a B.A. and M.A. in economics at the Warsaw School of Economics, an M.A. in finance at Tilburg University, and a Ph.D. in finance at the University of Chicago.
Dr. Mike Chen
Head of Alternative Alpha Research
Dr. Mike Chen, Head of Alternative Alpha Research, Robeco
Dr. Chen is the Head of Alternative Alpha Research at Robeco. In this role, he is responsible for leading the research and development of innovative alpha insights and solutions for use across Robeco. He started in this role in March, 2022. Dr. Chen’s current research interests are in the areas of quant sustainability, machine learning/NLP, and alternative data, and has published a number of journal articles in these topics.
Previously, Dr. Chen was the Head of Sustainable Investments at PanAgora. In that role, he led the research and development of sustainable investment solutions across PanAgora, and the commercialization of PanAgora’s ESG offerings. In addition, he is responsible for model research and development in the Equity Division while participating in daily management of firm’s portfolios. While at PanAgora, Dr. Chen developed and applied for a patent for a framework to construct sustainable portfolios based on dual objectives of alpha and sustainability out performance.
Prior to joining PanAgora, Dr. Chen was a Portfolio Manager at BlackRock’s Scientific Active Equity (SAE) team, where his responsibilities include portfolio management and research into alpha insights for use across the entire SAE platform. While at SAE, Dr. Chen won “Signal of the Year” award for a signal he researched and developed.
Dr. Chen started his career at Morgan Stanley in New York where he traded and managed a portfolio of exotic US rates derivatives. While at Morgan Stanley, Dr. Chen researched, developed and patented a framework that allowed for pricing of derivatives based on two rate curves with dynamic multiplicative spread, one of the first such models on the street.
Dr. Chen graduated from the University of Illinois in 2005 with a Ph.D. in Electrical and Computer Engineering. During graduate school he has published in leading academic engineering and applied mathematics journals, and had been invited to talk at numerous academic and industry conferences.
University of Illinois, Ph.D. (Electrical & Computer Engineering)
University of Illinois, M.S.C. (Mathematics)
University of Illinois, M.S.C. (Electrical & Computer Engineering)
McGill University, B.Eng.- Honours (Electrical and Computer Engineering)
Dr. Randeep Gug
Dr. Randeep Gug, CQF Institute, Managing Director
Dr. Randeep Gug is the Managing Director of the CQF Institute and a lecturer on the Certificate in Quantitative Finance (CQF). Prior to joining Fitch Learning, Randeep worked in a variety of roles. He spent five years working in the Equities division at Salomon Smith Barney and later traded futures and options on the Indian National Stock Exchange (NSE). More recently he has spent time teaching mathematics at all levels. He is a qualified teacher, holds a 1st class honours degree and a PhD for research in semiconductor physics. He is a CQF Alumnus, achieving a distinction on the programme and his current interests are based around improving and promoting the teaching and learning of Quant Finance.
29th September 2022
12:30 - 18:40 CEST
11:30 - 17:40 BST
Tickets are free for CQF Institute Members.
Not a member? Become a basic member for free to claim your complimentary ticket.
Quant Insights is presented by the CQF Institute, Fitch Learning, & Wilmott
Promoting the highest standard in practical financial engineering, the CQF Institute, part of Fitch Learning, is a global membership organization dedicated to educating and building the quantitative finance community. The CQF Institute is also the awarding body for the Certificate in Quantitative Finance (CQF) the world’s largest professional qualification in quantitative finance.
Part of the Fitch Group, Fitch Learning partners with businesses to help develop the future leaders of the financial services industry. Alongside centers in established financial hubs, Fitch Learning utilizes a best-in-class technology platform to deliver blended learning solutions that maintain the personal element of development.