Quantitative 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. 

All Bond spotlight Sustainability-Linked Bonds Climate risk pricing Fossil lending Nature loss Transparency Sovereigns and central banks Portfolio analysis Quantitative research
Financial candles on a screen.

Sustainable labelling and EUR-denominated primary book cover

Yesterday

Labelled bonds attract more investor demand — and the effect is strongest on debut issuance

The steps of a government building.

Mexico transition linker based on the 2026 framework

10/04/2026

A transition linked structure based on Mexico's new sustainability-linked financing framework.

A magnifying glass zooming in on some statistics.

Finding your voice: tools for better bondholder engagement on climate and nature risk

05/12/2025

AFII's toolkit for effective bondholder engagement

Transition linkers in Latin America

01/10/2025

Adapting the transition linker concept for Latin America

The steps of a government building.

Transition linkers

18/11/2024

A transition linker is a new form of performance-linked bond for investor, government, and general public interest transition alignment.

The steps of a government building.

Sovereigns: climate performance and the cost of capital

25/10/2024

Comprehensive analysis evidences relationship between climate factors and sovereign credit risk

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.

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