Managing Climate Risk in Investment Portfolios
Research Paper
June 26, 2020
Preview
Investors are increasingly concerned about how climate change and a transition to a low-carbon economy could impact the risk and return profile of their portfolios. In this case study, we selected a sample portfolio representative of a global actively managed fund in terms of its risk-return characteristics and used the MSCI Climate Value-at-Risk model to examine the different dimensions of climate-related risks. We show how Climate VaR can be used to measure climate risks for the portfolio as a whole, as well as further explore which sectors, countries and securities were driving these risks in the portfolio.
Read the full paper
Read the full paper
Provide your information for instant access to our research papers.
The content of this page is for informational purposes only and is intended for institutional professionals with the analytical resources and tools necessary to interpret any performance information. Nothing herein is intended to recommend any product, tool or service. For all references to laws, rules or regulations, please note that the information is provided “as is” and does not constitute legal advice or any binding interpretation. Any approach to comply with regulatory or policy initiatives should be discussed with your own legal counsel and/or the relevant competent authority, as needed.