QUANT INSIGHTS CONFERENCE:

ESG & Climate Risk in Quant Finance

29th September 2022
13:30 - 20:30 CEST
12:30 - 19:30 BST
Globally Live-Online

Brought to you by
CQF Institute, Fitch Learning, and Wilmott

WATCH THE CONFERENCE RECORDINGS

Days

1 Day

Speakers

6 Talks & 1 Panel

Price

Free Tickets

Post Conference

Video on Demand

About the Conference

The ESG & Climate Risk in Quant Finance Conference took place on 29th September 2022. Attendees enjoyed 7 talks from experts including Nobel Laureate, Professor Robert Engle, Dr. Robert Litterman, Asha Mehta, and many more.

If you missed the event, you can catch up with the recordings now on the CQF Institute website.

WATCH THE CONFERENCE RECORDINGS

Conference Schedule

Day 1

Day 1 - 29th September 2022

13.30 - 14.30 CEST

Virtual conference doors open - Familiarize yourself with the Hopin platform

14.30 - 14.35 CEST

Welcome Remarks
Dr. Randeep Gug, Managing Director, CQF Institute

14.35 - 15.10 CEST

'Your Attention Please!' - Weaponising the ESG Narrative
Dr. Grant Fuller, CEO, Irithmics

15.10 - 15.45 CEST

Natural Language Processing for Sustainable Development Goals
Dr. Mike Chen, Head of Alternative Alpha Research, Robeco

15.45 - 16.20 CEST

Symbols vs Solutions: Quant as a Driver for Value Creation
Asha Mehta, Managing Partner & CIO, Global Delta Capital

16.20 - 17.00 CEST

Break and Networking

17.00 - 18.00 CEST

Panel Discussion: Saints and Sinners
Professor Amir Amel Zadeh, Associate Professor, Saïd Business School, University of Oxford
Professor Laurens Swinkels, Head of Quant Strategy at Sustainable Multi-Asset Solutions, Robeco
Diana Ouamar, Managing Director, Rima Consulting
Dr. Arik Ben Dor, Head of Quantitative Equity Research, Barclays

18.00 - 18.35 CEST

Supply Chain Climate Exposure
Lukasz Pomorski, Managing Director and Head of ESG Research, AQR Capital Management

18.35 - 19.10 CEST

Climate Risk and Opportunity
Professor Robert Litterman, Founding Partner, Kepos Capital

19.10 - 19.45 CEST

Climate Financial Risk: Portfolios And Stress Tests
Professor Robert Engle, Professor Emeritus of Finance, New York University Stern School of Business

19.45 - 19.50 CEST

Closing Remarks
Dr. Randeep Gug, Managing Director, CQF Institute

19.50 - 20.30 CEST

End of day networking

Conference Speakers

Confirmed speakers and panelists. Click on the images below to explore abstracts and biographies.

Professor Robert Engle
Professor Emeritus of Finance
New York University Stern School of Business

Abstract Biography

Climate Financial Risk: Portfolios And Stress Tests

How should investors use ESG to form portfolios? Several optimality criteria will be discussed. Both statistical and fundamental analysis of climate hedge portfolios will be presented. A Climate Efficient Factor Mimicking Portfolio will be defined as a portfolio of publicly available ESG portfolios. Its performance in the pandemic and more recently is examined and illustrated on VLAB. These climate hedge portfolios are then used to assess the climate sensitivity of banks by using the Dynamic Conditional Beta statistical procedure to get a climate beta. The presentation will illustrate the findings on financial stability with respect to climate risk. Capital adequacy with respect to climate scenarios will be defined as CRISK and Marginal CRISK and their chief determinants and robustness will be examined.

Professor Robert Engle, Professor Emeritus of Finance, New York University Stern School of Business

Robert Engle, Professor Emeritus of Finance at New York University Stern School of Business, was awarded the 2003 Nobel Prize in Economics for his research on the concept of autoregressive conditional heteroskedasticity (ARCH). He developed this method for statistical modeling of time-varying volatility and demonstrated that these techniques accurately capture the properties of many time series. Professor Engle shared the prize with Clive W. J. Granger of UCSD. Professor Engle is the Co-Director of the Volatility and Risk Institute at NYU Stern. In this role he has developed research tools to track risks in the global economy and make these publicly available on the V-LAB website.

Professor Robert Litterman
Founding Partner
Kepos Capital

Abstract Biography

Climate Risk and Opportunity

Climate change is a major risk management failure, and the coming decade is crucial. Avoiding longer-term potential worst case outcomes requires significant policy actions to reduce emissions very soon, with the potential associated impacts on valuations and financial flows. At the same time, no matter what is done, the physical impacts of climate-related extreme weather will increase dramatically in the years ahead, requiring rapid innovation in risk sharing and forward-looking adaptation. Investors who understand these implications will be better able to avoid risks and take advantage of opportunities presented by climate change.

Professor Robert Litterman, Founding Partner, Kepos Capital

Professor Robert Litterman is a founding partner of Kepos Capital and the Chairman of its Risk Committee. Prior to founding Kepos Capital in 2010, he enjoyed a 23-year career at Goldman Sachs & Co., where he served in research, risk management, investment, and thought leadership roles. He researched and published groundbreaking papers in asset allocation and risk management during his tenure at Goldman Sachs. He is co-developer of the Black-Litterman Global Asset Allocation Model. He is serving or has served on the board of Commonfund, Niskanen Center, Options Clearing Corporation, Resources for the Future, Robert Wood Johnson Foundation, the Sloan Foundation, the CFTC Climate Related Market Risk Subcommittee, and others.

Education PhD in Economics from the University of Minnesota and a B.S. in Human Biology from Stanford University.

Kepos Capital, founded in 2010, is a registered investment adviser based in New York City. They manage over $2 billion in assets for a global, institutional investor base. Their investment strategies span from systematic macro to carbon transition and carbon allowance markets. Their models seek to deliver returns that are lowly correlated to broad market indices and other investment programs, and they continually evaluate and improve their process in response to new findings, changes in market conditions, and industry competition.

Professor Amir Amel Zadeh
Associate Professor
Saïd Business School, University of Oxford

Panel Abstract Biography

Saints and Sinners

Responsible Investing and Sin Stocks occupy opposite ends of the moral spectrum of investment. While sin stocks tend to deliver better returns in general, they are increasingly at odds with the values of organisations and the clients they represent. Balanced against this is the potential harmful impact of excluding such stocks from a portfolio. At the same time, the evidence is mounting that responsible investing is not just about the ‘feel-good factor’, it can deliver high performance in the long term.

How can quantitative finance professionals respond to this new reality and ensure they continue to deliver high performance? Our panel of experts delves into the subject, considering what strategies, models, and approaches can help navigate the challenges of divesting of sin stocks, and take advantage of the emerging opportunities in responsible investing.

Professor Amir Amel Zadeh, Associate Professor, Saïd Business School, University of Oxford

Amir Amel-Zadeh is Associate Professor at Saïd Business School, University of Oxford, associate member of the Oxford-Man Institute for Quantitative Finance and member of the UK Endorsement Board. Amir’s research broadly investigates the capital market effects of financial and non-financial disclosures. Prior to joining Saïd Business School, Amir held a position as Assistant Professor at Judge Business School, University of Cambridge, and prior to that worked at Lehman Brothers in London. He received his PhD in Finance from the University of Cambridge. He teaches fundamental analysis on the Oxford MBA and sustainable investing on executive programmes. He has taught or consulted for the financial services industry globally and is currently academic advisor to PanAgora Asset Management.

Dr. Arik Ben Dor
Head of Quantitative Equity Research
Barclays

Panel Abstract Biography

Saints and Sinners

Dr. Arik Ben Dor, Head of Quantitative Equity Research, Barclays

Dr. Ben Dor is the Head of Quantitative Equity Research at Barclays and a member of the Journal of Portfolio Management and Journal of Fixed Income editorial boards. He co-authored three books on quantitative credit investing and published over twenty articles in leading industry journals. Dr. Ben Dor was ranked 1st in II All-America Fixed Income Research Survey and was also awarded a U.S. patent for work related to synthetic replication of hedge funds returns.

Dr. Ben Dor oversaw large scale research projects in equities, rates, credit, and hedge funds used by the largest institutional investors globally including central banks, Sovereign wealth funds, asset managers, insurance companies, pensions and hedge funds. His innovative work on Duration Times Spread (DTS) as a new measure of credit risk, and the use of information from credit markets in systematic equity strategies was broadly adopted by portfolio managers and affected industry practices.

Dr. Ben Dor worked previously at Lehman Brothers and Morgan Stanley. He holds a PhD in Finance from the Kellogg Business School at Northwestern University, and completed his B.A. and M.A. in Economics from Tel Aviv University Cum Laude.

Asha Mehta
Managing Partner & CIO
Global Delta Capital

Abstract Biography

Symbols vs Solutions: Quant as a Driver for Value Creation

ESG has become a political symbol that can divert attention from our primary focus - using technology to identify and reward innovation and good stewardship through the deployment of capital. This is fundamentally sound investment practice; not political gamesmanship. We know what drives value, and quant provides an efficient tool to manage the breath and depth of complexity in the developing markets.

Asha Mehta, Managing Partner & CIO, Global Delta Capital

Asha Mehta, CFA, is Managing Partner & CIO at Global Delta Capital. Her thematic focus includes Emerging & Frontier Markets and Sustainability Investing. In prior roles, Asha was Lead Portfolio Manager and Director of Responsible Investing at Acadian Asset Management as well as an investment banker at Goldman Sachs. Early in her career, she conducted microfinance lending in India.

Asha was named one of the Top 10 Women in Asset Management by Money Management Executive and was profiled as a "Brilliant Quant" by Forbes magazine. Her work has been featured in Pensions & Investments, the FT, CNN, WSJ, and other publications. She is the author of upcoming book Power of Capital, published by Wiley in October 2022.

Asha is a Board Member of CFA Society Boston and an Advisor to the High Meadows Institute. She is a supporter of Compass Working Capital and 100 Women in Finance to promote financial literacy and inclusion. Asha holds an MBA with Honors from The Wharton School (University of Pennsylvania) and a BS, Biological Sciences and AB, Anthropology, from Stanford University. Asha has traveled to over 80 countries and lived in six.

Diana Ouamar
Managing Director
Rima Consulting

Panel Abstract Biography

Saints and Sinners

Diana Ouamar, Managing Director, Rima Consulting

Diana is the Managing Director of Rima Consulting Limited. She has more than 14 years’ experience in risk management developed in rating agencies, investment banking, consulting, and private equity. Diana is involved in defining ESG strategy in financial services.

As a Senior Regulatory Risk consultant, she follows closely and interprets the banking regulations focusing on Market Risk, Counterpart Credit Risk and Climate Risk. She has participated in numerous strategic programs to comply with the regulatory requirements and has a proven track record in delivering high profile regulatory driven change projects within the Risk Management and Operations functions across the US & European Tier-1 Investment Banks.

Diana began her career at Calyon Investment Bank in Paris and Fitch Ratings Agency in London as a corporate credit analyst. She developed her risk management experience at Moody’s Investors Services in London, and then at Rule Financial (GFT) as a Regulatory Risk Consultant.

Diana holds a Msc in Finance from the University of London and an Msc in Economics from University of Paris-Panthéon-Sorbonne. She recently received the Certificate of Achievement on “Climate Change: Financial risks and opportunities” from Imperial College Business School and she is currently attending courses on “Sustainable Finance” from University of Cambridge.

Grant Fuller
CEO
Irithmics

Abstract Biography

'Your Attention Please!' - Weaponising the ESG Narrative

Capital markets are essentially information markets. Asymmetries in this information - how data is analysed, interpreted and contextualised - affect investors’ views and expectations, shaping how they choose to allocate and reallocate portfolio capital and risk. This talk highlights how ESG thematics amplify these asymmetries and discusses consequences for corporate issuers, portfolio and risk managers, both shareholding and non-shareholding activists, short-sellers and regulators.

Grant Fuller, CEO, Irithmics

Grant co-founded Irithmics, an artificial intelligence research and technology firm, in 2012 as part of an EU backed academic research call in public health and epidemiology. The technology's capability to analyse and anticipate complex behaviours, relationships and dynamics has subsequently been successfully applied to financial markets. Previously part of Ernst & Young's risk advisory practice, before which Grant led Bloomberg’s successful hedge fund trading and analytics (AIM) business in European and Asian markets. Prior to Bloomberg, Grant was part of RiskMetrics, establishing their European fund and asset management analytics and consulting capabilities. He holds a BSc in Chemistry from the University of St Andrews where he remained to undertake a PhD applying neural networks in carbohydrate chemistry, after which he joined academic research at Cambridge University, and began applying neural networks to public health and epidemiology.

Professor Laurens Swinkels
Head of Quant Strategy at Sustainable Multi-Asset Solutions
Robeco

Panel Abstract Biography

Saints and Sinners

Professor Laurens Swinkels, Head of Quant Strategy at Sustainable Multi-Asset Solutions, Robeco

Laurens Swinkels is Associate Professor of Finance at Erasmus University in Rotterdam and Executive Director and Head of Quant Strategy at Robeco’s Sustainable Multi-Asset Strategies team. His areas of expertise include allocation research and empirical asset pricing. He teaches Finance courses and has published his academic work in peer-reviewed journals such as Journal of Financial Economics. Prior to re-joining Robeco in 2016, he was a Researcher at Norges Bank Investment Management. He was a Researcher at Robeco from 2004 to 2012 and at PensionFactory and APG Asset Management from 1999 to 2004. Laurens is member of the Research Committee of Inquire Europe. Laurens holds a PhD in Finance and a Master’s in Econometrics from Tilburg University in the Netherlands.

Lukasz Pomorski
Managing Director & Head of ESG Research
AQR Capital Management

Abstract Biography

Supply Chain Climate Exposure

Investors are seeking good quality information on climate risk exposure of their investments and are often stymied by the lack of accuracy and breadth of available data. To address this issue, we combine scope 1 and 2 emissions data, one of the highest quality metrics available, with supply chain information on corporates to create a novel and intuitive supply chain climate risk measure. This metric can generate powerful insights because some companies may seem green on traditional climate data, but may have material climate risk exposure if they do more business with firms that themselves face climate risks.

The strength of the metric is that it utilizes raw data that are broadly accessible and that are of higher quality than alternatives such as scope 3 emissions. This has allowed us to look at applications across broad universes of securities and empirically validate our work, showing for example that our measure helps explain stock price movements around climate news.

We also discuss applications of our framework for risk measurement, enhancing investment views, corporate reporting and identifying targets for engagement. We conclude that our metric’s intuitive definition and transparency should be appealing for both investors and corporate decision makers.

Lukasz Pomorski, Managing Director and Head of ESG Research, AQR Capital Management

Lukasz Pomorski is a Managing Director and Head of ESG Research at AQR Capital Management. He is responsible for the planning and oversight of the firm’s responsible investment research efforts across all asset classes. Lukasz is a member of the PRI’s Hedge Fund Advisory Committee he serves on Qontigo’s Sustainable Investment Advisory Board. Additionally, Lukasz is a lecturer at Yale University, where he teaches a course on ESG Investing. Prior to AQR, Lukasz was an Assistant Director for Research at the Bank of Canada and an Assistant Professor of Finance at the University of Toronto. His research on ESG, alpha signals, and portfolio construction has been published in top academic and practitioner journals and won several best paper awards. Lukasz earned a B.A. and M.A. in economics at the Warsaw School of Economics, an M.A. in finance at Tilburg University, and a Ph.D. in finance at the University of Chicago.

Dr. Mike Chen
Head of Alternative Alpha Research
Robeco

Abstract Biography

Natural Language Processing for Sustainable Development Goals

This talk focuses on advanced natural language processing (NLP) methods to identify companies aligned with the UN Sustainable Development Goals (SDGs) based on the text in their sustainability disclosures. Using the Corporate Social Responsibility (CSR) reports of Russell 1000 companies between 2010–2019, we apply a logistic classifier, support vector machines (SVM), and a fully-connected neural network to predict alignment with the SDGs. Specifically, we use word embeddings to augment dictionary-based input features and the embeddings as features themselves based on Word2Vec and Doc2Vec models to classify companies’ alignment with the SDGs over time. Notably, the Doc2Vec embedding inputs to the SVM classifier result in a high average accuracy of above 80% for predicting alignment.

Dr. Mike Chen, Head of Alternative Alpha Research, Robeco

Dr. Chen is the Head of Alternative Alpha Research at Robeco. In this role, he is responsible for leading the research and development of innovative alpha insights and solutions for use across Robeco. He started in this role in March, 2022. Dr. Chen’s current research interests are in the areas of quant sustainability, machine learning/NLP, and alternative data, and has published a number of journal articles in these topics.

Previously, Dr. Chen was the Head of Sustainable Investments at PanAgora. In that role, he led the research and development of sustainable investment solutions across PanAgora, and the commercialization of PanAgora’s ESG offerings. In addition, he is responsible for model research and development in the Equity Division while participating in daily management of firm’s portfolios. While at PanAgora, Dr. Chen developed and applied for a patent for a framework to construct sustainable portfolios based on dual objectives of alpha and sustainability out performance.

Prior to joining PanAgora, Dr. Chen was a Portfolio Manager at BlackRock’s Scientific Active Equity (SAE) team, where his responsibilities include portfolio management and research into alpha insights for use across the entire SAE platform. While at SAE, Dr. Chen won “Signal of the Year” award for a signal he researched and developed.

Dr. Chen started his career at Morgan Stanley in New York where he traded and managed a portfolio of exotic US rates derivatives. While at Morgan Stanley, Dr. Chen researched, developed and patented a framework that allowed for pricing of derivatives based on two rate curves with dynamic multiplicative spread, one of the first such models on the street.

Dr. Chen graduated from the University of Illinois in 2005 with a Ph.D. in Electrical and Computer Engineering. During graduate school he has published in leading academic engineering and applied mathematics journals, and had been invited to talk at numerous academic and industry conferences.

Education:
University of Illinois, Ph.D. (Electrical & Computer Engineering)
University of Illinois, M.S.C. (Mathematics)
University of Illinois, M.S.C. (Electrical & Computer Engineering)
McGill University, B.Eng.- Honours (Electrical and Computer Engineering)

Dr. Randeep Gug
Managing Director
CQF Institute

Biography

Dr. Randeep Gug, CQF Institute, Managing Director

Dr. Randeep Gug is the Managing Director of the CQF Institute and a lecturer on the Certificate in Quantitative Finance (CQF). Prior to joining Fitch Learning, Randeep worked in a variety of roles. He spent five years working in the Equities division at Salomon Smith Barney and later traded futures and options on the Indian National Stock Exchange (NSE). More recently he has spent time teaching mathematics at all levels. He is a qualified teacher, holds a 1st class honours degree and a PhD for research in semiconductor physics. He is a CQF Alumnus, achieving a distinction on the programme and his current interests are based around improving and promoting the teaching and learning of Quant Finance.

Conference Tickets

Date

29th September 2022

Time

13:30 - 20:30 CEST
12:30 - 19:30 BST

Tickets are free for CQF Institute Members.
Not a member? Become a basic member for free to claim your complimentary ticket.

WATCH THE CONFERENCE RECORDINGS

Conference Organizers

Quant Insights is presented by the CQF Institute, Fitch Learning, & Wilmott

Promoting the highest standard in practical financial engineering, the CQF Institute, part of Fitch Learning, is a global membership organization dedicated to educating and building the quantitative finance community. The CQF Institute is also the awarding body for the Certificate in Quantitative Finance (CQF) the world’s largest professional qualification in quantitative finance.

Part of the Fitch Group, Fitch Learning partners with businesses to help develop the future leaders of the financial services industry. Alongside centers in established financial hubs, Fitch Learning utilizes a best-in-class technology platform to deliver blended learning solutions that maintain the personal element of development.

Wilmott is the leading resource for the quant finance community, comprised a website and discussion forum and Wilmott magazine.

Explore more Quant Insights Conferences

Quant Insights Conference:

Portfolio Management

Date

19th May 2022

Time

14:30 - 22:30 SGT
07:30 - 15:30 BST

Quant Insights Conference:

Quantum Computing in Finance

Date

13th July 2022

Time

08:30 - 14:30 EDT
13:30 - 19:30 BST

Quant Insights Conference:

Annual Quant Insights Conference

Date

2nd - 3rd November 2022

Time

08:30 - 14:30 EST
13:30 - 19:30 GMT

QUANT INSIGHTS CONFERENCE:

ESG & Climate Risk in Quant Finance

About the Conference

Conference Schedule

Conference Speakers

Climate Financial Risk: Portfolios And Stress Tests

Professor Robert Engle, Professor Emeritus of Finance, New York University Stern School of Business

Climate Risk and Opportunity

Professor Robert Litterman, Founding Partner, Kepos Capital

Saints and Sinners

Professor Amir Amel Zadeh, Associate Professor, Saïd Business School, University of Oxford

Saints and Sinners

Dr. Arik Ben Dor, Head of Quantitative Equity Research, Barclays

Symbols vs Solutions: Quant as a Driver for Value Creation

Asha Mehta, Managing Partner & CIO, Global Delta Capital

Saints and Sinners

Diana Ouamar, Managing Director, Rima Consulting

'Your Attention Please!' - Weaponising the ESG Narrative

Grant Fuller, CEO, Irithmics

Saints and Sinners

Professor Laurens Swinkels, Head of Quant Strategy at Sustainable Multi-Asset Solutions, Robeco

Supply Chain Climate Exposure

Lukasz Pomorski, Managing Director and Head of ESG Research, AQR Capital Management

Natural Language Processing for Sustainable Development Goals

Dr. Mike Chen, Head of Alternative Alpha Research, Robeco

Dr. Randeep Gug, CQF Institute, Managing Director

Conference Tickets

Conference Organizers

Conference Sponsor

Explore more Quant Insights Conferences

Portfolio Management

Quantum Computing in Finance

Annual Quant Insights Conference

Follow the CQF Institute