Market Consistency

Market Consistency and WMC [20]

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Bullet points include: ESGs can be: “Real-world”: allows for risk premia on different assets to assist in selecting investment views to adopt. “Risk-neutral”: designed to replicate prices of market observables. Same subdivision of roles for valuations as covered at start of talk. For market consistent valuation purposes we need to use risk-neutral ESGs or equivalents

Bullet points include: ESGs can be: “Real-world”: allows for risk premia on different assets to assist in selecting investment views to adopt. “Risk-neutral”: designed to replicate prices of market observables. Same subdivision of roles for valuations as covered at start of talk. For market consistent valuation purposes we need to use risk-neutral ESGs or equivalents

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