Related papers: Climate Change Valuation Adjustment (CCVA) using p…
Clouds have a significant impact on the Earth's climate system. They play a vital role in modulating Earth's radiation budget and driving regional changes in temperature and precipitation. This makes clouds ideal for climate intervention…
Understanding the dynamics and evolution of climate change and associated uncertainties is key for designing robust policy actions. Computer models are key tools in this scientific effort, which have now reached a high level of…
Climate change is the long-term shift in global weather patterns, largely caused by anthropogenic activity of greenhouse gas emissions. Global climate temperatures have unmistakably risen and naturally occurring climate variability alone…
This article presents a generic model for pricing financial derivatives subject to counterparty credit risk. Both unilateral and bilateral types of credit risks are considered. Our study shows that credit risk should be modeled as American…
The economic impacts of climate change are highly uncertain. Two of the most important uncertainties are the sensitivity of the climate system and the so-called damage functions, which relate climate change to economic damages and benefits.…
The purpose of this paper is introducing rigorous methods and formulas for bilateral counterparty risk credit valuation adjustments (CVA's) on interest-rate portfolios. In doing so, we summarize the general arbitrage-free valuation…
An uncollateralized swap hedged back-to-back by a CCP swap is used to introduce FVA. The open IR01 of FVA, however, is a sure sign of risk not being fully hedged, a theoretical no-arbitrage pricing concern, and a bait to lure market risk…
High-resolution gridded climate data are readily available from multiple sources, yet climate research and decision-making increasingly require country and region-specific climate information weighted by socio-economic factors. Moreover,…
In this work we rigorously establish mathematical models to obtain the capital valuation adjustment (KVA) as part of the total valuation adjustments (XVAs). For this purpose, we use a semi-replication strategy based on market theory. We…
Amid accelerated digitalization, not only is the scale of data processing and storage increasing, but so too is the associated infrastructure load on the climate. Current climate models and environmental protocols almost entirely overlook…
The field of Detection and Attribution is rapidly moving beyond weather and climate, and towards incorporating hazards and their impacts on natural and human systems. Here, we review the comprehensive literature base relevant for the UK…
In this paper, we survey recent econometric contributions to measure the relationship between economic activity and climate change. Due to the critical relevance of these effects for the well-being of future generations, there is an…
Projecting climate change is a generalization problem: we extrapolate the recent past using physical models across past, present, and future climates. Current climate models require representations of processes that occur at scales smaller…
Subspace methods like canonical variate analysis (CVA) are regression based methods for the estimation of linear dynamic state space models. They have been shown to deliver accurate (consistent and asymptotically equivalent to quasi maximum…
Accurately estimating treatment effects over time is crucial in fields such as precision medicine, epidemiology, economics, and marketing. Many current methods for estimating treatment effects over time assume that all confounders are…
In this paper we discuss and address the challenges of predicting extreme atmospheric events like intense rainfall, hail, and strong winds. These events can cause significant damage and have become more frequent due to climate change.…
Climate risk assessments must account for a wide range of possible futures, so scientists often use simulations made by numerous global climate models to explore potential changes in regional climates and their impacts. Some of the…
We study the impact of climate volatility on economic growth exploiting data on 133 countries between 1960 and 2019. We show that the conditional (ex ante) volatility of annual temperatures increased steadily over time, rendering climate…
We conduct a sensitivity analysis of a new type of integrated climate-economic model recently proposed in the literature, where the core economic component is based on the Goodwin-Keen dynamics instead of a neoclassical growth model.…
Climate change in India is one of the most alarming problems faced by our community. Due to adverse and sudden changes in climate in past few years, mankind is at threat. Various impacts of climate change include extreme heat, changing…