Pricing Climate Risks
- Partner, Kepos Capital LP
- Member, Board of Directors for Sustainability, Arizona State University
Litterman is a partner at Kepos Capital LP, a New York based hedge fund, and former Chairman of the
Quantitative Investment Strategies Group of Goldman Sachs Asset Management. He is the co-developer of the Black-Litterman Global Asset Allocation Model, a key tool in investment management, and has co-authored several books.
Climate risk should be priced. The pricing of non-diversifiable risks implies that the price is a function of expected damages plus a risk premium. When we fail to include climate as a risk, we ignore the potential effects of "tail events" that could be catastrophic. The appropriate government policy today is to price climate related emissions to change human behavior in a short period of time.
2 - 3:15 p.m.
(discussion to follow)