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Here are some resources that I found useful when learning about this subject, in which I'm very interested. (Some may be more general ESG than just just climate.) Citigroup. Environmental and Social Policy Framework (March 2021) UBS. Suni Harford. Investing in an ESG world - A practitioner’s guide (2020) AQR. Clearing the Air: Responsible Investment (...


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This turns out to be a general drawback of the HRP algorithm, as pointed out by Pfitzinger, J., & Katzke, N. (2019) (my highlights): As shown in Figure 2.3, the naive bisection rule can violate the intuitive character of the result, by placing similar assets into separate clusters for allocation purposes. While centered bisection yields a symmetric ...


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Adding to Dimitris' answer (this is a too long for a comment) Proceed as follows: Identify risk factors $r^{(i)}$, $i=1\ldots n$. Say the absolute returns of the pillars 1Y,2Y,...30Y of the discounting and forwarding zero rate term structures. Make sure that you have no gaps in your observations. Based on the time series of each risk factor, run a GARCH ...


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Let us suppose for concreteness that the 10y swap rate is 0.5% today and was 7% a year and and 6.5% a "year minus a day" ago... reprice the swaps for each historical scenario and calculate returns as the difference between the swaps PV from each scenario and the today's PV This won't help you at all, really. Take a step back and consider your ...


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The only reference I know of is from this 2018 JEF paper on "risk model crowding". Barra is believed to lead most providers with around a 50% market share. Bruno, S., Chincarini, L. B., & Ohara, F. (2018). Portfolio construction and crowding. Journal of Empirical Finance, 47, 190-206. https://ludwigbc.com/pubs/Crowding_JEF_2018


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A good book on consumer credit is: Naeem Siddiqi. Intelligent Credit Scoring: Building and Implementing Better Credit Risk Scorecards. In the U.S., there are many federal and state laws (Equal Credit Opportinity Act, Fair Credit Reporting Act, and many others) and regulations that implement them, which prohibit discrimination in various consumer credit ...


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I doubt this is publicly available, if you do not find it on the respective websites. It's their intellectual property after all. Moreover, I think these are all enterprise solutions. As such, I am sure any vendor you reach out to and show genuine interest will be more than happy to assist you. For example, if you use Bloomberg, just ask the help desk and ...


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There are two kinds of factors. Named or defined factors are related to observable economic or financial variables, such as FamaFrench HMB, or the market factor or an oil price factor. Unnamed or statistically identified factors are the result of a PCA using only stock prices. Although the first PCA factor is usually close the Market factor mentioned above (...


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To Anyone else looking for a base model to go off on, I was not able to incorporate the more high level (market risk, political risk), etc I was looking for. However, Trafigura does publish their value at risk model (VaR) for a single transaction: https://www.trafigura.com/media/1490/2014_trafigura_the_economics_of_commodity_trading_firms_section_iii_english....


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Besides taking the suggested reading materials above and skimming them for help, I have been in commodity markets probably 15 years. I can tell you that there are NO commodity risk programs I've found that will answer your questions we all have as quants. The typical quant will invent their own method combining concepts from the financial markets which are ...


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