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

31/10/2023

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

SLBs: no cal(l)amity

20/09/2023

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

10/05/2023

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

08/11/2022

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

25/10/2022

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

12/08/2021

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

02/06/2020

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