Chapter Meeting

Germany

Incorporating ESG Risk in Fundamental Market Risk Models

June 20, 2024

This chapter meeting has passed.

Overview

Join us for an enlightening webcast featuring Dr. Gerhard Schweimayer, Head of Risk Management at Amundi Germany. Dr. Schweimayer will delve into his latest working paper, which explores the implications of integrating ESG risk into front-office-driven Fundamental Market Risk Measurement approaches. 

Gerhard will present the key findings and encourage interactive discussion of key topics including: 

  • Why ESG risk factors should be added as a jump component to equity portfolio Geometric Brownian Motion (GBM) processes. 
  • How environmental risks impact diversified portfolios over longer horizons or during stressed scenarios.
  • How to use environmental rating-based exclusion lists and exposure limits to manage ESG risk.
  • How to adjust historical VaR simulations to account for ESG Risk.

Agenda

1:00 – 1:05 pm: Welcome and introduction

1:05 – 1:45 pm: Presentation

1:45 – 2:00 pm: Audience Q&A

Attendees qualify for 1 GARP CPD credit.

Details

June 20, 2024
1:00 PM - 2:00 PM

Online
Link Emailed Upon Registration

View on Demand

Speakers

Dr. Gerhard Schweimayer

Dr. Gerhard Schweimayer
Head of Risk Management, Amundi Germany, Local Chief Risk Officer

Chapter Directors

Markus Quick
Partner KPMG

Natalie Packham
Professor of Mathematics and Statistics Berlin School of Economics and Law



Committee Members

Enrique Rivero Azaola
Senior Supervisor Single Supervisory Mechanism - European Central Bank

Xingyi Shi
Manager Deloitte

Yuxing Zhang
Senior Regulatory Management Advisor Deutsche Bank

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