Projects

Center of Risk Management


HEC Lausanne


Université de Lausanne


1015 Lausanne


info@crml.ch

Projects in Finance

 

Sustainable investment

 

We analyze and develop investment strategies that allow investors to put the emphasis on particular dimensions of sustainability (environmental, social, and /or governance).

In a first research, we show that it is possible to increase the score of a portfolio without deterioration the risk-adjusted performance of the portfolio. However, such screening may affect regional, sectoral, and factor exposures of the new portfolio. We have developed an interface that enables investors to determine the consequences of their investment decisions.

In a second follow-up paper, we show how to implement an investment strategy that allows investors to also control for regional, sectoral, and factor exposures of the new portfolio.

 

Sustainable real estate

 

Real estate is an important component of responsible finance but the research in this field is still relatively scarce. Being a large component of most institutional portfolios, it has nevertheless gathered much attention. Contrary to equities and bonds, the challenge relies more on collecting the data first. Our objective is to evaluate the environmental score of real estate properties in Switzerland. Specifically, the Center aims at collecting the energy score for all available properties and aggregating this information at real estate fund level.

 

The Center also plans to develop macro models designed to analyze how to incentivize households to switch from carbon to green energy, in particular for real estate decisions.

 

 

Projects in Actuarial Sciences

 

We have the pleasure to announce the upcoming Summer School of the ASA organized by the Department of Actuarial Sciences from UNIL/HEC on june 3-7, hosted by HEC. The topic is "Enterprise Risk Management" and the website of the event can be found here:  www.saa-iss.ch .