We examine the existence of physical and transition climate risk premia in euro area equity markets. To do so, we … develop two novel physical and transition risk indicators, based on text analysis, which are then used to gauge the presence … of climate risk premia. Results suggest that climate risk premia for both, transition and physical climate risk, have …

-term transition scenarios, we document a significant variance among banks in their risk exposure, with the most exposed institutions …

CBAM to a restricted list of imports while expanding the ETS coverage puts the EU at greater risk of carbon leakages …

climate-related physical risks with a global Input-Output model. More specifically, climate-related GDP-at-risk data are used … ultimate impact of physical risk because trade can lead to losses that are up to 30 times higher in the EA than what looking at … possible. Future research should (i) develop more granular, holistic, and forward-looking global physical risk data and (ii …

carbon price on the European banking system. We assess this climate change transition risk through a banking sector contagion …

In this paper we propose definitions of funding liquidity and funding liquidity risk and present a simple, yet … intuitive, measure of funding liquidity risk based on data from open market operations. Our empirical analysis uses a unique … our proxies for funding liquidity risk are typically stable and low, with occasional spikes, especially during the recent …

. For this purpose, it first extends the estimation of risk-neutral probability density functions up to tick frequency. In … triggering an adjustment process for interest rate expectations. - Risk-neutral probability density functions ; option …