Théo Le Guenedal

CREST-ENSAE

France

Amundi Institute

90 Boulevard Pasteur

Paris, 75015

France

SCHOLARLY PAPERS

18

DOWNLOADS
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Top 5,817

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10,940

SSRN CITATIONS
Rank 30,352

SSRN RANKINGS

Top 30,352

in Total Papers Citations

21

CROSSREF CITATIONS

7

Scholarly Papers (18)

1.

How ESG Investing Has Impacted the Asset Pricing in the Equity Market

Number of pages: 19 Posted: 28 Jan 2019 Last Revised: 30 Jan 2019
Amundi Asset Management, CREST-ENSAE, Amundi Asset Management, Amundi Asset Management, Amundi Asset Management, Amundi Asset Management and Amundi Institute
Downloads 2,432 (8,637)
Citation 11

Abstract:

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SRI, ESG Investing, Environmental, Social, Governance, Asset Pricing, Active Management, Stock Picking, Passive Management, Optimized Benchmarking Portfolio, Factor Investing, Factor Picking, Impact Investing

2.

ESG Investing in Recent Years: New Insights from Old Challenges

Number of pages: 23 Posted: 22 Sep 2020
affiliation not provided to SSRN, CREST-ENSAE, Amundi Asset Management, Amundi Asset Management, Amundi Asset Management and Amundi Institute
Downloads 1,990 (12,027)
Citation 7

Abstract:

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ESG, environmental, social, governance, asset pricing, active management, passive management, factor investing

3.

Credit Risk Sensitivity to Carbon Price

Number of pages: 40 Posted: 08 May 2020
Vincent Bouchet and Théo Le Guenedal
Ecole Polytechnique, Palaiseau and CREST-ENSAE
Downloads 910 (38,448)
Citation 3

Abstract:

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Climate Change, Carbon Price, Credit Risk, Scenario Analysis

4.

Portfolio Construction with Climate Risk Measures

Number of pages: 51 Posted: 05 Jan 2022 Last Revised: 01 Feb 2022
Théo Le Guenedal and Thierry Roncalli
CREST-ENSAE and Amundi Asset Management
Downloads 798 (46,081)

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Climate change, risk measure, carbon emissions, reduction scenario, carbon trajectory, net zero emission, optimized portfolio, decarbonization, portfolio alignment, index portfolio

5.

Measuring and Managing Carbon Risk in Investment Portfolios

Number of pages: 58 Posted: 22 Sep 2020
University of Paris-Saclay, CREST-ENSAE, Amundi Asset Management, Amundi Asset Management and Amundi Institute
Downloads 738 (51,045)
Citation 4

Abstract:

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Carbon, climate change, risk factor, Kalman filter, minimum variance portfolio, enhanced index portfolio, factor investing

6.

ESG Investing in Corporate Bonds: Mind the Gap

Number of pages: 61 Posted: 22 Sep 2020
Amundi Institute, CREST-ENSAE, Amundi Asset Management and Amundi Institute
Downloads 610 (65,513)
Citation 1

Abstract:

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SRI, ESG investing, environmental, social, governance, asset pricing, active management, bond picking, passive management, credit rating, yield spread, cost of debt

7.

Corporate ESG News and The Stock Market

Number of pages: 46 Posted: 29 Dec 2020
Ecole Centrale MarseilleUniversité de Paris, CREST-ENSAE, Amundi Asset Management, Amundi Asset Management, Amundi Institute and Amundi Institute
Downloads 603 (66,346)
Citation 1

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ESG, ESG sentiment, ESG materiality, SASB, SDG, multi-factor models, NLP

8.

ESG Investing in Fixed Income: It's Time to Cross the Rubicon

Number of pages: 23 Posted: 22 Sep 2020
Amundi Institute, Amundi Asset Management, CREST-ENSAE, Amundi Asset Management and Amundi Institute
Downloads 559 (73,289)

Abstract:

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SRI, ESG investing, environmental, social, governance, asset pricing, active management, bond picking, passive management, credit rating, yield spread, cost of debt

9.

Monitoring Narratives: An Application to the Equity Market

Number of pages: 38 Posted: 06 May 2022
Amundi Institute, Amundi Institute, Amundi Institute, CREST-ENSAE, Amundi Institute and Amundi Institute
Downloads 556 (73,614)

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macroeconomics, narrative economics, FRED, GDELT project, natural language processing, sentiment, financial markets

10.

The Market Measure of Carbon Risk and its Impact on the Minimum Variance Portfolio

Number of pages: 15 Posted: 08 Feb 2021
University of Paris-Saclay, CREST-ENSAE, Amundi Asset Management, Amundi Asset Management and Amundi Institute
Downloads 338 (131,643)
Citation 2

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carbon, climate change, risk factor, carbon beta, carbon intensity, minimum variance portfolio

11.

Measuring and Pricing Cyclone-Related Physical Risk Under Changing Climate

Proceedings of Paris December 2021 Finance Meeting EUROFIDAI - ESSEC
Number of pages: 43 Posted: 03 Jun 2021 Last Revised: 19 Oct 2021
Théo Le Guenedal, Philippe Drobinski and Peter Tankov
CREST-ENSAE, Ecole Polytechnique, Palaiseau and ENSAE, Institut Polytechnique de Paris
Downloads 280 (159,680)

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Climate change, physical risk, cyclone, sovereign risk, Monte Carlo simulation, damage modeling

12.

Net Zero Carbon Metrics

Number of pages: 74 Posted: 16 Feb 2022
CREST-ENSAE, Amundi Asset Management, Amundi Asset Management and Amundi Institute
Downloads 260 (174,163)

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Climate change, net zero emissions, reduction scenario, carbon budget, carbon trend, carbon reduction target, participation, ambition, credibility, portfolio alignment, decarbonization

13.

The Recent Performance of ESG Investing, the COVID-19 Catalyst and the Biden Effect

Number of pages: 26 Posted: 21 Oct 2021
Amundi Asset Management, CREST-ENSAE, Amundi Institute, Amundi Institute, Amundi Asset Management, Amundi Institute and Amundi Institute
Downloads 256 (175,500)

Abstract:

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ESG, environmental, social, governance, asset pricing, active management, factor investing, COVID-19, feature extraction, machine learning

14.

Economic Modeling of Climate Risks

Number of pages: 83 Posted: 05 Nov 2020
Théo Le Guenedal
CREST-ENSAE
Downloads 183 (238,635)

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Economic modeling, climate change, scenarios, energy, general equilibrium, technical change, optimal policy

15.

Cascading Effects of Carbon Price Through the Value Chain: Impact on Firm's Valuation

Number of pages: 44 Posted: 02 Apr 2022
Ecole Polytechnique, Amundi Asset Management, Ecole Polytechnique, Amundi Asset Management, Amundi Asset Management and CREST-ENSAE
Downloads 126 (322,371)

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Transition risk, Carbon price, Risk diffusion, World input-output table, Cascading effect, Leontief price model

16.

Corporate Debt Value under Transition Scenario Uncertainty

Number of pages: 29 Posted: 13 Jul 2022 Last Revised: 17 Aug 2022
Théo Le Guenedal and Peter Tankov
CREST-ENSAE and ENSAE, Institut Polytechnique de Paris
Downloads 110 (354,836)

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default risk, endogenous default, climate transition risk, carbon price, scenario uncertainty

17.

Trajectory Monitoring in Portfolio Management and Issuer Intentionality Scoring

Number of pages: 45 Posted: 10 Jul 2020
CREST-ENSAE, Amundi Asset Management, Amundi Asset Management, Amundi Asset Management and Amundi Institute
Downloads 106 (363,935)
Citation 1

Abstract:

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Climate change, scenarios, trajectory, intentionality, decision tree

18.

Tracking ECB’s Communication: Perspectives and Implications for Financial Markets

Number of pages: 76 Posted: 22 Mar 2021
Roberta Fortes and Théo Le Guenedal
Université Panthéon Sorbonne Paris 1 and CREST-ENSAE
Downloads 85 (418,731)

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Quantitative trading, Central Bank, Fixed Income, Foreign Exchange, Text mining