Quantitative Sustainable Economics and Finance 
Time: 11.20 am
Date: 23th of May 2024
Room 3005

Chiara Colesanti (University of Zurich – LSE, Grantham Institute) “A study of nature risk pricing”

Abstract :We introduce a novel dataset provided by S&P Global that contains company-level information on nature dependence and nature impact. Based on these metrics we construct nature and climate factors. To test whether these factors earn a risk premium, we rely on a factor-mimicking portfolio approach. We show that whether investors require a premia depends on the specific nature and climate risk considered, which stressed the importance of using granular information when looking at these risks.

Organizers:

Peter TANKOV (CREST)

Sponsors:
CREST