Integrating Sustainability and Risk Management | A Course by Professor Sergio Focardi

  • from Mon 19 February 2024
    to Mon 04 March 2024
  • 18:00 - 19:30
  • Virtual Event

The new challenge of risk management: integrating the constraints and design principles of sustainability.


Sustainability has, and will have, a strong impact on the management of financial risks. This course looks at the practical aspects of financial risks in modern economies that are attempting to become sustainable. Classical risk models are linked to unconstrained expanding economies. This course discusses how risk models integrate with sustainability constraints and adapt to circular economies.The course discusses different types of financial risks related to sustainability. ESG assessments tend to summarize corporate sustainability in one or more ESG indices. In this course, we discuss the integration of ESG indices with VaR and ES based risk measurement models. But there are other important aspects of sustainability that need to be integrated with quantitative risk models, particularly circularity and the evolving complex nature of modern economies. How do you calculate correlations in a circular economy? How does extreme event theory apply to an economy that tends to recycle on itself? How can network models help understand the resilience of circular economies? These are some of the advanced topics covered in this course.In the last module, we cover risk management in a growing circular economy. The growth of a circular economy is linked to various elements, including the qualitative growth of output.



MONDAY, 19 FEBRUARY - From 18 to 19:30 PM CET

Module 1 - Sustainability

  • The three pillars of sustainability
  • Sustainability is a systemic problem
  • ESG and analytical frameworks for sustainability

TUESDAY 20 FEBRUARY - From 18 to 19:30 PM CET

Module 2 - Risk Management Theory

  • Basic Risk Management
  • Concepts
  • Market risks, credit risks and other risks
  • Models for quantitative risk measurement

MONDAY 26 FEBRUARY - From 18 to 19:30 PM CET

Module 3 - Sustainability and VaR models

  • Financial risks related to sustainability
  • Integration of sustainability risks with VaRmodels
  • Estimating correlations in the circular economy

TUESDAY 27 FEBRUARY - From 18 to 19:30 PM CET

Module 4 - Sustainability and rare events

  • Extreme Value Theory
  • Integration of sustainability and ES models
  • Risk Models in the Circular Economy

MONDAY 4 MARCH - From 18 to 19:30 PM CET

Module 5 - Looking Ahead

  • Risk Models and Complexity Theory
  • Risk Models, Circularity and Qualitative Growth
  • Risk Models and Quantum Probability


Author of 19 books and over one hundred articles, Dr. Focardi has a long experience in teaching and research. Focardi has taught at EDHEC in Nice, at New York University at Stony Brook (LongIsland), at Princeton, at the Pole Universitaire de Vinci in Paris, at Franklin University in Lugano. Dr Focardi's research activity is linked to the study of economies as complex evolutionary systems. At the end of the 1990s, Focardi participated in the creation of an artificial market at the University of Genoa. Subsequently, Dr Focardi created credit risk models based on the ACD (Autoregressive Conditional Duration) framework and studied cointegration of large portfolios by creating factor models of prices. In the last ten years, Dr Focardi's research activity has focused on economies as complex evolutionary systems. In particular, Focardi proposed a model of qualitative economic growth to describe modern economies. This model, described in the book The Theory of Qualitative Economic Growth, allows to model the qualitative growth of economies subject to the constraints of decoupling growth from the use of natural resources as required by the EU Green Deal. Focardi has a degree in Electronic Engineering from the University of Genoa (110/110 and bronze medal) and a PhD in Mathematics of Finance from the University of Karlsruhe, Germany.




  • Monday, 19 February - From 18 to 19:30 PM CET
  • Tudesday, 20 February - From 18 to 19:30 PM CET
  • Monday 26 February - From 18 to 19:30 PM CET
  • Tuesday 27 February - From 18 to 19:30 PM CET
  • Monday 4 March - From 18 to 19:30 PM CET

Registration and Pricing

Study materials

  • The course includes PPT presentations and course text. Slides and text will be sent starting ten days before the course.
  • Course participants can send emails with questions and comments to the instructor at info@sergiofocardi.net. At the end of the course, the teacher will prepare a text with the discussion of the questions and observations. The discussion text will be emailed to each participant. 

Sustainability and Risk Management.pdf