This article studies the impact of carbon risk on stock pricing. To address this, we consider the seminal approach of … Görgen et al. (2019), who proposed estimating the carbon financial risk of equities by their carbon beta. To achieve this …, the primary task is to develop a brown-minus-green (or BMG) risk factor, similar to Fama and French (1992). Secondly, we …

According to our survey about climate risk perceptions, institutional investors believe climate risks have financial … of the investors, especially the long-term, larger, and ESG-oriented ones, consider risk management and engagement …

We propose and implement a method to identify shocks to transition risk, addressing key challenges regarding its … risk in the United States. These shocks have important aggregate effects, also inducing financial instability. They are …

We develop a financial-economic model for carbon pricing with an explicit representation of decision making under risk … specifications. We show that risk associated with high damages in the long term leads to stringent mitigation of carbon dioxide … emissions in the near term. Our results provide insight into how a systematic incorporation of climate-related risk influences …

price, the equilibrium risk-free rate, and risk premia. Climate disasters, which are more likely to occur sooner as … temperature rises, significantly increase risk premia. …

We construct a novel carbon risk measure to assess mutual funds’ carbon risk exposure based on mutual fund holding data … and further explore how such exposure affects mutual funds’ performance, risk, and flows. First, we find carbon risk … negatively predicts fund future raw and risk-adjusted performance. Second, we find that carbon risk correlates with different …

portfolio construction. Until now, investors have mainly measured carbon risk using fundamental approaches, such as with carbon … to a carbon risk factor. In our opinion, carbon betas are market-based measures that are complementary to carbon …

In the face of rising climate risk, financial institutions may adapt by transferring such risk to securitizers that … to climate risk may be a drop in the ocean of cash flows. This paper builds a data set of the entire securitization chain … optimal deals by finding the portfolio weights in an asset demand system that targets return and risk. Extrapolating wildfire …

This paper analyses the exposure to climate risk of ABS, an asset class frequently pledged as collateral in the … and Medium Enterprises (SMEs) and explores ways to measure their climate risk based on the characteristics of the … computation of ABS climate related risk proxies. Without necessarily being able to measure a concrete impact, we carved a series …

NGFS. CPRS enable users to group the large number of NACE codes into few categories of climate transition risk. At this …, investors and academics in climate transition risk disclosure and climate transition risk assessment, providing a science …