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Expertisecentrum CIBIFOnderdeel van Rijksuniversiteit Groningen

Expertisecentrum CIBIF

Faculteit Economie en Bedrijfskunde
Centre of Expertise CIBIFVoor studenten

Ortec Finance

21 december 2017

Ortec Finances looks for students who want to do a project, thesis or an internship on Environmental, Social and Governance.

Ortec Finance advices institutional investors, e.g., pension funds and insurance companies, on risk management and strategic asset allocation. Recently, Environmental, Social and Governance (ESG) responsible investing is becoming more important in asset allocation decisions of institutional investors (see the references). A common approach is to use qualitative aspects, e.g., carbon footprint, when individual stocks are selected. The advice of Ortec Finance, however, is mainly focussed on the strategic level (asset classes) and follows a quantitative approach based on time-series models. The aim of this project is to investigate several approaches to take into account ESG responsible investing on a strategic level.

The Ortec Finance models and the advice based on the models can take ESG responsible investing into account in three ways. First, we could model ESG equity benchmarks, e.g., low carbon equity indices. Available data and suitability of these indices can be investigated in the thesis. Second, the Ortec Finance models are calibrated such that they converge to plausible long term expected values. In these long term expected values, ESG related factors such as global warming could be taken into account. Third, we could define stress scenarios, such as global warming, in which ESG benchmarks or certain regions will perform differently.

Requirements for this project are:

·         Interest in econometric modelling

·         Solid background in finance or econometrics

If you are interested in this project, please send an email to Bert.Kramer@ortec-finance.com

References

Andersson, Bolton, Samama, Hedging climate risk, Financial analysts journal (2016)

De Jong, Nguyen, Weathered for climate risk, Financial analysts journal (2016)

Laatst gewijzigd:03 januari 2018 14:23

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