Related papers: Climate Change Valuation Adjustment (CCVA) using p…
The valuation of over-the-counter derivatives is subject to a series of valuation adjustments known as xVA, which pose additional risks for financial institutions. Associated risk measures, such as the value-at-risk of an underlying…
Connected and automated vehicles (CAVs) are poised to reshape transportation and mobility by replacing humans as the driver and service provider. While the primary stated motivation for vehicle automation is to improve safety and…
Predictions of global climate models typically operate on coarse spatial scales due to the large computational costs of climate simulations. This has led to a considerable interest in methods for statistical downscaling, a similar process…
Causal effect estimation seeks to determine the impact of an intervention from observational data. However, the existing causal inference literature primarily addresses treatment effects on frequently occurring events. But what if we are…
Damage functions in integrated assessment models (IAMs) map changes in climate to economic impacts and form the basis for most of estimates of the social cost of carbon. Implicit in these functions lies an unwarranted assumption that…
In a series of recent papers, Damiano Brigo, Andrea Pallavicini, and co-authors have shown that the value of a contract in a Credit Valuation Adjustment (CVA) setting, being the sum of the cash flows, can be represented as a solution of a…
Credit value adjustment (CVA) is the charge applied by financial institutions to the counterparty to cover the risk of losses on a counterpart default event. In this paper we estimate such a premium under the Bates stochastic model (Bates…
In March 2020, the world was thrown into financial distress. This manifested itself in increased uncertainty in the financial markets. Many interest rates collapsed, and funding spreads surged significantly, which increased due to the…
The last decade has seen the success of stochastic parameterizations in short-term, medium-range and seasonal forecasts: operational weather centers now routinely use stochastic parameterization schemes to better represent model inadequacy…
Conditional Value-at-Risk (CoVaR) quantifies systemic financial risk by measuring the loss quantile of one asset, conditional on another asset experiencing distress. We develop a Transformer-based methodology that integrates financial news…
The electric grid is increasingly vital, supporting essential services such as healthcare, heating and cooling transportation, telecommunications, and water systems. This growing dependence on reliable power underscores the need for…
We study the evolution of interest about climate change between different actors of the population, and how the interest of those actors affect one another. We first document the evolution individually, and then provide a model of cross…
The financial sector is increasingly concerned with the physical risks of climate change, but economic and financial impact representations are still developing, particularly for chronic risks. Mexico's Central Bank conducted a…
Accurate uncertainty information associated with essential climate variables (ECVs) is crucial for reliable climate modeling and understanding the spatiotemporal evolution of the Earth system. In recent years, geoscience and climate…
We assess empirical models in climate econometrics using modern statistical learning techniques. Existing approaches are prone to outliers, ignore sample dependencies, and lack principled model selection. To address these issues, we…
Climate change continues to be a pressing issue that currently affects society at-large. It is important that we as a society, including the Computer Vision (CV) community take steps to limit our impact on the environment. In this paper, we…
In recent years, the climate change research community has become highly interested in describing the anthropogenic influence on extreme weather events, commonly termed "event attribution." Limitations in the observational record and in…
A high degree of consensus exists in the climate sciences over the role that human interference with the atmosphere is playing in changing the climate. Following the Paris Agreement, a similar consensus exists in the policy community over…
Credit (CVA), Debit (DVA) and Funding Valuation Adjustments (FVA) are now familiar valuation adjustments made to the value of a portfolio of derivatives to account for credit risks and funding costs. However, recent changes in the…
Monetization of the non-use and nonmarket values of ecosystem services is important especially in the areas of environmental cost-benefit analysis, management and environmental impact assessment. However, the reliability of valuation…