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.

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:

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.

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