Associate Professor, CREST, ENSAE, Institut Polytechnique de Paris
Associate Editor, Review of Finance
Research interests:
Financing of the ecological transition and sustainable development
Nature and climate risks
Theoretical and empirical asset pricing
Email: Olivier-David.Zerbib@ensae.fr
Curriculum vitae | Google Scholar
I co-organize the CMAP - CREST Quantitative Sustainable Economics and Finance (QSEF) seminar, a monthly in-person seminar series, hosted by CMAP (Ecole Polytechnique) and CREST (Ecole Polytechnique and ENSAE), featuring research presentations that address sustainable (including green) economics and finance issues through quantitative approaches, along with Peter Tankov and Gauthier Vermandel.
[New Version] When Green Investors Are Green Consumers (with Maxime Sauzet), R&R, Review of Financial Studies
Presentations (including scheduled): UC Berkeley Macro Lunch, Boston College - Boston University Green Line Macro Meeting, Yale Junior Finance Conference, HEC - HKUST Sustainable Finance seminar, Banque de France, Maastricht University, Ecole Polytechnique, Université Paris 1 - Panthéon Sorbonne, RCN seminar, University of Oxford, Paris December Finance meeting (2022), Green Finance Research Advances (2023), International Congress on Industrial and Applied Mathematics (2023), MFA (2023), Finance Down Under (2023), SFS Cavalcade (2023), EFA (2023), London-Paris Bachelier workshop, Colorado Finance Summit (2023), Bordeaux University (2023), North American Winter Meeting of the Econometric Society (2024), Spring Workshop - HEC-McGill Winter Finance Conference (2024).
Impact Investing with Shareholder Engagement (with Jean-François Chassagneux and Roxana Dumitrescu), Mathematical Finance, forthcoming
Can Investors Curb Greenwashing? (with Fanny Cartellier and Peter Tankov) [SSRN], Journal of Economic Dynamics and Control, 2025
The Biodiversity Premium (with Guillaume Coqueret and Thomas Giroux) [SSRN], Ecological Economics, 2025
Empirical Asset Pricing with Score-Driven Conditional Betas [SSRN] (with Thomas Giroux and Julien Royer), Journal of Financial Econometrics, 2024
Climate Impact Investing (with Tiziano De Angelis and Peter Tankov) [SSRN], Management Science, 2023
Research Prize Finalist, European Investment Forum - University of Cambridge (2021)A Sustainable Capital Asset Pricing Model (S-CAPM): Evidence from environmental integration and sin stock exclusion [SSRN], Review of Finance, 2022
Best Paper Award, Paris December Meeting (2020).The effect of pro-environmental preferences on bond prices: Evidence from green bonds [SSRN], Journal of Banking and Finance, 2019
#1 most cited article in the JBF over 3 years and 5 years after publication. Winner of the SUERF/UniCredit Foundation & Universities Research Prize (2018); Best Paper Award, International Conference on Finance (2018); Best Paper Award, International Conference on Energy, Finance and the Macroeconomy (2017).Publications in actuarial sciences:
Optimal asset allocation with liquidity and withdrawal risks (with Areski Cousin, Ying Jiao, and Christian Robert), Risks, 2022
Asset allocation strategies in the presence of liability constraints (with Areski Cousin, Ying Jiao, and Christian Robert), Insurance: Mathematics and Economics, 2016
Publications in French:
Indicateurs environnementaux : caractéristiques d'une mesure agrégée pertinente (with Jean-Guillaume Peladan, Julie Raynaud, and Peter Tankov), Revue d'Economie Financière (special issue on Climate Finance), 2020
Le cancer du rein sporadique du sujet jeune : étude des particularités cliniques et anatomopathologiques d'une cohorte bicentrique (with Jérémy Cohen, Olivier Timsit, Morgan Rouprêt, Virginie Verkarre, Eva Comperat, Arnaud Mejean, and Olivier Bitker), Progrès en Urologie, 2018
Autour des taux d’intérêt écologiques (with Olivier Guéant and Jean-Michel Lasry), Cahiers de la Chaire Finance et Développement Durable, n°3, October 2007
Professional and policy papers:
Socially Responsible Investing Strategies under Pressure: Evidence from the COVID-19 Crisis, (with Gunther Capelle-Blancard and Adrien Desroziers), Journal of Portfolio Management, 2021
Is the EIB paving the way for a “Green Premium”?, Natixis Research Report, p6-7, April 2017
Evaluation de la gestion d'actifs d’un investisseur institutionnel, Groupama Asset Management Research Paper, Sept. 2016
La volatilité des ratios de Solvabilité 2 à l’épreuve des variations de marché : quelles solutions? (with Claire Bourgeois and Réda Jabrazko) ITEMS, n°2, June 2015
Jean-Baptiste Olive (1848-1936) : Calanque d'En-Vau and L'entrée du port de Marseille.
