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.