Incorporating ESG Risk in Fundamental Market Risk Models

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