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Amundi Asset Management

2022 Top 500 ranking: 8

Incorporating ESG Risk In Fundamental Market Risk Models

Incorporating ESG Risk In Fundamental Market Risk Models

This paper investigates the possible impact of ESG Risk when incorporated into front office driven Fundamental Market Risk Measurement approaches. The main principle is, that ESG risk is implicitly embedded in observable market risk factors, like share prices and credit spreads, and interprets the ESG risk of an equity portfolio ...

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