QSEF Seminar

CMAP - CREST

Quantitative Sustainable Economics and Finance Seminar

Upcoming seminar: November 27 at 10 am, room 3001 at CREST

Thorsten Hens (University of Zürich) — "Shareholder Engagement in an ESG-CAPM with Incomplete Markets: Much ado about nothing?"
Armon Rezai (University of Vienna) — "Intergenerational welfare effects of emissions targets in small open economies"

The CMAP - CREST Quantitative Sustainable Economics and Finance Seminar is a monthly in-person seminar series, hosted by CMAP (Ecole Polytechnique) and CREST (ENSAE Paris and Ecole Polytechnique), featuring research presentations that address sustainable (including green) economics and finance issues through quantitative approaches.

The seminars are held in room 3001 at CREST (5 Av. Le Chatelier, 91120 Palaiseau, France), usually on Thursdays from 10:00 am to 12:00 pm.

The seminar series is jointly organized by Peter Tankov, Gauthier Vermandel, and Olivier David Zerbib.

If you are interested in being kept informed about the seminar series, please send your email address to the following generic address: qsefseminar@gmail.com. You will be able to ask for your email address to be removed from the mailing list at any time by sending a request to the same generic email address.

Fall 2025 seminars

September 25:
- Victor Saint-Jean (ESSEC) — "The Shared Costs of Pursuing Shareholder Values"
- Théo Le Guenedal (Amundi) — "Quantifying climate-related financial risks"

October 16:
- Stefano Lovo (HEC) — "Carbon information, pricing, and bans. Evidence from a field experiment"
- Fanny Cartellier (University of Zürich) — "From nature loss to stock returns: an asset pricing modeling framework"

November 27:
- Thorsten Hens (University of Zürich) — "Shareholder Engagement in an ESG-CAPM with Incomplete Markets: Much ado about nothing?"

We give a general equilibrium model of incomplete asset markets in which investors care not only about risk and returns but also ESG consequences. On the firm’s objective, we consider two notions of equilibrium, a market value maximization equilibrium and a Dreze criterion maximization equilibrium. The market value is calculated under the representative investor’s utility gradient, while the Dreze criterion is calculated under the weight average of the shareholders’ utility gradients, where the weights are proportional to shareholdings. In a Dreze criterion maximization equilibrium shareholders express their views on the decision of the firm. Thus, we interpret it as an equilibrium with shareholder engagement, and take the difference in social welfare between the two equilibria as the consequence of shareholder engagement. We establish the existence of these equilibria. We give an equivalent condition for the two to coincide, which means that shareholder engagement makes no difference in social welfare. We show, moreover, that the difference in social welfare between the Dreze and the market value equilibrium is positive but at most of second order, hence negligible, in a sense that can be made precise.

- Armon Rezai (University of Vienna) — "Intergenerational welfare effects of emissions targets in small open economies"

A small open economy model with overlapping generations, endogenous labour supply, government debt, and current account dynamics is formulated to analyse the effects of a cap on cumulative emissions on intergenerational welfare and macroeconomic outcomes. First, we contrast implementation of the cap via a constant carbon price with a Hotelling rule for the carbon price when revenue is fully rebated. Second, the potential role of government debt is analysed for these two policy options. Third, the importance of judicially rebating carbon tax revenue in the presence of a distortionary on labour income is analysed. In all cases, the effects on intergenerational welfare, employment, capital flight, and the current account are highlighted.

December 4:
- Markus Leippold (University of Zürich) — "Beyond Carbon Pricing: Integrating Mitigation, Adaptation, and Carbon Removal"

In this paper, we develop a dynamic stochastic integrated assessment model (IAM) to evaluate portfolios of climate policies under legacy emissions and climate risk. We argue that, given society’s persistent inaction and the already elevated stock of atmospheric CO$_2$ - a legacy of past emissions and the gas’s long atmospheric residence time - traditional policy prescriptions based solely on carbon pricing and clean-technology subsidies are no longer sufficient. Our framework jointly optimizes four instruments: carbon taxation, subsidies to clean capital, adaptation investment, and carbon dioxide removal (CDR). Calibrated to replicate RCP4.5 climate trajectories and contemporary macroeconomic aggregates, the model shows that no single instrument can meet the Paris-consistent temperature goal at reasonable economic cost: relying only on carbon pricing and clean-technology subsidies would require mitigation expenditures that are unrealistically large. Instead, the optimal policy is a diversified portfolio in which CDR plays a decisive role and acts as a complement to the carbon tax: in our baseline calibration, net carbon removal must scale from roughly 0.04 to 2.4 GtCO$_2/$year by 2050 to keep global mean surface temperature below $2\,^{\circ}\mathrm{C}$.

Spring 2026 seminars

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CMAP - CREST

Quantitative Sustainable Economics and Finance Seminar

Fall 2025 seminars

September 25:

Victor Saint-Jean (ESSEC) — "The Shared Costs of Pursuing Shareholder Values"

Théo Le Guenedal (Amundi) — "Quantifying climate-related financial risks"

October 16:

Stefano Lovo (HEC) — "Carbon information, pricing, and bans. Evidence from a field experiment"

Fanny Cartellier (University of Zürich) — "From nature loss to stock returns: an asset pricing modeling framework"

November 27:

Thorsten Hens (University of Zürich) — "Shareholder Engagement in an ESG-CAPM with Incomplete Markets: Much ado about nothing?"

Armon Rezai (University of Vienna) — "Intergenerational welfare effects of emissions targets in small open economies"

December 4:

Markus Leippold (University of Zürich) — "Beyond Carbon Pricing: Integrating Mitigation, Adaptation, and Carbon Removal"

Spring 2026 seminars