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-carbon economy, namely, orderly transition, disorderly transition, and no transition (hot house world). We describe three systemic … risk metrics computed from a copula-based model of dependence between financial firm returns and financial asset market … returns: climate transition expected returns, climate transition value-at-risk, and climate transition expected shortfall …
Persistent link: https://www.econbiz.de/10013491591
financial risk and impact financial stability. This paper explores the specific features of climate-related financial risks … policy-makers have in the face of such risk. It finds that there are significant challenges associated with ‘greening …
Persistent link: https://www.econbiz.de/10012427917
. Specifically, we introduce a measure called CRISK, systemic climate risk, which is the expected capital shortfall of a financial … institution in a climate stress scenario. We use the measure to study the climate-related risk exposure of large global banks in …
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-term transition scenarios, we document a significant variance among banks in their risk exposure, with the most exposed institutions …
Persistent link: https://www.econbiz.de/10014558804
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The aim of this work is to introduce an innovative methodology for performing risk attribution within a multifactor … risk framework. We applied this analysis to the assessment of systemic, climate, and geopolitical risks relative to a … the combined risk to each factor and to the effect of their interaction by employing our proposed frequency-based approach …
Persistent link: https://www.econbiz.de/10014391739