Academic research

Here we share technical pieces aimed at investment professionals and academics interested in in-depth analysis, market theory, structuring and modelling in fixed income through a sustainability lens. 

Contingent Resilience-Linked (CORL) bonds: combining public and private capital for resilience


We propose a new bond structure to increase private investment in sustainable development

SLBs: no cal(l)amity


We compare a large sample of SLBs with traditional bonds, to identify relative trends of callability

A row of wind turbines at dawn.

Greenback SLBs: an impact standardisation proposal


In this report, we separate an analysis of SLB structures into discussions around materiality and ambition.

A row of wind turbines at dawn.

An option pricing approach for Sustainability-Linked Bonds


This paper aims to encourage issuers to set robust sustainability targets when structuring SLBs.

A row of wind turbines at dawn.

Notes on risk-neutral pricing of SLBs and step-down structures


In this report, we analyse SLB structures through a binomial approach.

An overhead photo of a road submerged by floodwater.

Carbon negative leveraged investment strategies


In this report we explain how to apply and account for leverage and short positions in the context of carbon footprinting.

An overhead photo of a road submerged by floodwater.

Green Bond Risk Premiums: A Twin-Bond ULFP Approach


Here, we discuss the trading volatility of green bonds vs vanilla bonds.