Related papers: Climate Change Valuation Adjustment (CCVA) using p…
The main result of this paper is a collateralized counterparty valuation adjusted pricing equation, which allows to price a deal while taking into account credit and debit valuation adjustments (CVA, DVA) along with margining and funding…
The strengthening of capital requirements has induced banks and traders to consider charging a so called capital valuation adjustment (KVA) to the clients in OTC transactions. This roughly corresponds to charge the clients ex-ante the…
Existing work on value alignment typically characterizes value relations statically, ignoring how alignment interventions, such as prompting, fine-tuning, or preference optimization, reshape the broader value system. In practice, aligning a…
Driven by the increasing frequency and intensity of natural disasters and chronic climate threats, we investigate the impact of physical climate risk on global equity portfolios. By employing a panel regression analysis on sectoral returns,…
The parameterization of moist convection contributes to uncertainty in climate modeling and numerical weather prediction. Machine learning (ML) can be used to learn new parameterizations directly from high-resolution model output, but it…
Many papers and monographs were written about the modeling the Earth climate and its variability. However there is still an obvious need for a module that presents the fundamentals of climate modeling to students at the undergraduate level.…
The popular systemic risk measure CoVaR (conditional Value-at-Risk) and its variants are widely used in economics and finance. In this article, we propose joint dynamic forecasting models for the Value-at-Risk (VaR) and CoVaR. The CoVaR…
Adaptation-relevant predictions of climate change are often derived by combining climate model simulations in a multi-model ensemble. Model evaluation methods used in performance-based ensemble weighting schemes have limitations in the…
In this paper we revisit Burnett (2021) \& Burnett and Williams (2021)'s notion of hedging valuation adjustment (HVA), originally intended to deal with dynamic hedging frictions such as transaction costs, in the direction of model risk. The…
There is great uncertainty about future climate conditions and the appropriate policies for managing interactions between the climate and the economy. We develop a multidimensional computational model to examine how uncertainties and risks…
Accurate and computationally-viable representations of clouds and turbulence are a long-standing challenge for climate model development. Traditional parameterizations that crudely but efficiently approximate these processes are a leading…
Motivated by the climate crisis that is currently ravaging the planet, we propose and analyze a novel framework for the evolution of anthropogenic climate impact in which the evolution of human environmental behavior and environmental…
Estimating the effects of continuous-valued interventions from observational data is a critically important task for climate science, healthcare, and economics. Recent work focuses on designing neural network architectures and…
This study contributes to understanding Valuation Adjustments (xVA) by focussing on the dynamic hedging of Credit Valuation Adjustment (CVA), corresponding Profit & Loss (P&L) and the P&L explain. This is done in a Monte Carlo simulation…
This paper develops an XVA (costs) analysis of centrally cleared trading, parallel to the one that has been developed in the last years for bilateral transactions. We introduce a dynamic framework that incorporates the sequence of…
A new challenge to quantitative finance after the recent financial crisis is the study of credit valuation adjustment (CVA), which requires modeling of the future values of a portfolio. In this paper, following recent work in [Weinan…
Multivariate dynamic time series models are widely encountered in practical studies, e.g., modelling policy transmission mechanism and measuring connectedness between economic agents. To better capture the dynamics, this paper proposes a…
Climate models are thought to solve boundary value problems unlike numerical weather prediction, which is an initial value problem. However, climate internal variability (CIV) is thought to be relatively important at near-term (0-30 year)…
Weather-related risk makes the insurance industry inevitably concerned with climate and climate change. Buildings hit by pluvial flooding is a key manifestation of this risk, giving rise to compensations of the induced physical damages and…
The credit crisis and the ongoing European sovereign debt crisis have highlighted the native form of credit risk, namely the counterparty risk. The related Credit Valuation Adjustment, (CVA), Debt Valuation Adjustment (DVA), Liquidity…