Ojea-Ferreiro, Javier; Reboredo, Juan Carlos; Ugolini, … - 2022
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 …. Empirical evidence for European financial firms over the period 2013-2020 indicates that the climate transition risk varies …