Financial Asset Risk Pricing

In collaboration with Equarius® Risk Analytics, we are advancing applications of the capital asset pricing model (CAPM) to quantify the impact of water risks on securities in the capital markets

The research question is whether water risk can be quantified as a financially-relevant factor for asset allocation and risk pricing

WaterBeta represents non-systemic (idiosyncratic) volatility risk in a stock (or other traded security), relative to a sector benchmark. 

Students and Collaborators

  • Iuliana Bleanda-Mogosanu, MS/MBA, Erb Institute for Global Sustainable Enterprise/SEAS; Currently at Equarius Risk Analytics and Harvard University (Institute for Growth and Innovation)
  • Anthony Arnold, MS Energy Systems Engineering, University of Michigan
  • Sven Adriaens, BBA, Broad School of Business, Michigan State University
  • Dan Li, MSc, Macromolecular Science and Engineering, UM; Currently at Mitsubishi Financial Group
  • Mingyan Tian, MSc, Environmental and Water Resources Engineering
  • Lydia Miller, Senior VP, Dana Investment Advisors (WI)
  • Tad Slawecki, MS, LimnoTech, seconded to Equarius Risk Analytics
  • Chenwu Liu, MS Computer Science, University of Michigan
  • Celina Jiang, Mathematical Finance, University of Michigan