98744 - SUMMER/WINTER SCHOOL

Learning outcomes

This course is addressed to specializing in frontier topics with a joint effort of academics and professionals. Theoretical lectures and practical ones will allow students to acquire knowledge and ability to use it.

Course contents

The main focus of the School is in the area of Green Finance and Sustainable Transition. The school will introduce students to very urgent frontier topics which involve knowledge in many disciplines, e.g. engineering, phisics, stats, maths and probability, economics and finance. The topic is detailed in accord with an industrial partner who proposed a specific team project and will support the teaching and the supervision of students providing intern experts. Academic lecturers and tutors will complete the theoretical knowledge of the topic and provide the IT tools to manage the dataset, write codes and simulate quantitative models.

The main goal of the 2024-GrEnFIn Summer School and Training is to analyze a new asset class, i.e. the class of Green financial assets, discussing its risk management properties and asset allocation benefits. More precisely the focus is on the role of the greenness level of financial assets in portfolio allocation. Students will be involved in the creation of optimized portfolios that account for the alignment of assets with sustainability goals. Several allocation strategies and asset classes will be considered, as ESG rating-based methodologies as well as evaluation of relevant KPIs identified in the Corporate Sustainability Reporting Directive (CSRD) - 2022/2464/EU, such as the Green Asset Ratio. Consequently green and brown portfolios, labelled as such based on the different levels of the asset issuers’ greenness measures, will be identified. Furthermore, fixed-income instruments and equities combinations will lead to different modelling implications and results. Once the optimized green and brown portfolios are built, they will be compared in terms of a number of risk and return measures. Additionally, their exposure to climate risk factors and energy commodities will be computed and analyzed via statistical tests. Finally, to perform climate change scenario analysis, participants will use the PACTA (Paris Agreement Capital Transition Assessment) tool on green and brown portfolios. The aim of the tool is to analyze the current and future exposure of an investment portfolio to economic activities affected by the transition to a low-carbon economy.

Readings/Bibliography

The materials is manly based on research articles or technical documents provided to the students in advance as pre-reading documents.

Teaching methods

The program is lead by a case study proposed by an industrial partner and finalized to elaborate a project in team. The school offers several theoretical lectures delivered by international academics and professional experts useful to the project as well as statistical&IT Labs to support the development of the project's analysis. The teamwork allows students to acquire also a multicultural experience and many soft skills.

In order to introduce students to the topic, two virtual meetings will be organized before the on-site experience. The first day will be a training on preparatory elements and the necessary knowledge to fully understand the purpose and objectives of the project. The sessions of the day will conclude with suggestions for further study on materials specifically prepared for them, as well as source consultation. On the other hand, the second virtual meeting is aimed at acquiring knowledge from the participants in order to optimally organize the students into various teams. Therefore students will meet academic teachers from the school and the tutors who will be available for a day. After the project's presentation with detailed specifications on the skills required for each step, the participants will take center stage, and after presenting their backgrounds, they will themselves propose a specific contribution to a part of the project. Based on the gathered information, the participants will be allocated to various groups, the composition of which will be notified before the start of the on-site experience. During the dedicated in-person teamwork sessions, there will be a virtual assistance service that will enable teams to benefit from the help of industrial experts.

First tentative agenda:

4-5 June 2024 Virtual meetings

23-27 June 2024 On-site School at the Unibo's residence centre at Bertinoro.

A more detailed agenda will be provided in due time.

Assessment methods

The students will be requested to pass a test (multiple choice) and to discuss the project in front of a commission composed by professionals and academics. The final grade is an average mean of the test (30%) and the project work (70%).

Teaching tools

Blackboard, slides, Stats&IT Labs.

Office hours

See the website of Silvia Romagnoli