Sustainability
02. May 2023
5 minutes

Hedging climate risks - another research project with OLZ participation

Together with Nobel laureate Prof. Robert F. Engle (New York University) and Prof. Bryan Kelly (Yale University), our Senior Research Analyst Dr. Gianluca De Nard publishes his current research on the measurement and hedging of climate risks in portfolio optimization.

OLZ Gianluca de Nard.
Dr. Gianluca De Nard
Download Working Paper

Factor Mimicking Portfolios for Climate Risk

In this international and interdisciplinary research study, conducted by the University of Zurich in collaboration with Yale University and the NYU Stern Volatility and Risk Institute, various climate risks are investigated to determine how they can be measured and hedged in financial markets. First, renowned journals are analyzed using the latest algorithms to publish various climate risk indices in real-time: https://vlab.stern.nyu.edu/.

In a second step, these indices are then replicated in financial markets using the latest statistical methods to hedge climate risks as efficient and sustainable as possible with investible portfolios.

OLZ Gianluca de Nard.
Dr. Gianluca De Nard
Head of Quantitative Research

Member of the NYU Stern Volatility and Risk Institute in New York City and Senior Research Associate at the Department of Economics at the University of Zurich. Previously, he conducted research as a postdoctoral fellow at Yale University.

More on this topic:

MSCI ESG Leaders Index: Sustainability with a high concentration risk?
Sustainability
02.07.2024

MSCI ESG Leaders Index: Sustainability with a high concentration risk?

OLZ Business Development Sandro Gugolz Sandro Gugolz, CFA
Sustainability
22.05.2024

Measuring and hedging climate risks

OLZ Gianluca de Nard Dr. Gianluca De Nard
CO2 intensity in the Swiss equity market down by 30% within a year
Sustainability
26.03.2024

CO2 intensity in the Swiss equity market down by 30% within a year

OLZ Business Development Sandro Gugolz Sandro Gugolz, CFA

We are always happy to talk to you.

A lasting relationship with our customers is worth more to us than mere success. Get in touch with us, we look forward to hearing from you. Or contact us directly:

🍪 We use cookies.

Your privacy is important to us

This website uses cookies and third-party targeting technologies to provide you with a better internet experience. Technically necessary cookies help make a website usable by enabling basic functions such as page navigation and access to secure areas of the website. The website cannot work properly without these cookies. Statistics cookies help us understand how you, as a visitor to our website, interact with it by collecting and reporting information anonymously. We also provide these cookies to third parties to help us perform these analyses (in particular Google Analytics). In order for us to use statistics cookies or similar technologies, we need your prior and explicit consent; you can revoke this consent at any time. You find further information in our privacy policy.