Related papers: Climate Change Valuation Adjustment (CCVA) using p…
Climate models exhibit an approximately invariant surface warming pattern in typical end-of-century projections. This observation has been used extensively in climate impact assessments for fast calculations of local temperature anomalies,…
The initial Climate-Extended Risk Model (CERM) addresses the estimate of climate-related financial risk embedded within a bank loan portfolio, through a climatic extension of the Basel II IRB model. It uses a Gaussian copula model…
We consider the problem of computing the Credit Value Adjustment ({CVA}) of a European option in presence of the Wrong Way Risk ({WWR}) in a default intensity setting. Namely we model the asset price evolution as solution to a linear…
Modeling spillover effects from observational data is an important problem in economics, business, and other fields of research. % It helps us infer the causality between two seemingly unrelated set of events. For example, if consumer…
Climate change is widely expected to increase weather related damage and the insurance claims that result from it. This will increase insurance premiums, in a way that is independent of a customer's contribution to the causes of climate…
We assess evidence for changes in tail characteristics of wind, solar irradiance and temperature variables output from CMIP6 global climate models (GCMs) due to climate forcing. We estimate global and climate zone annual maximum and annual…
Conformal prediction provides rigorous distribution-free finite-sample guarantees for marginal coverage under the assumption of exchangeability, but may exhibit systematic undercoverage or overcoverage for specific subpopulations. Assessing…
Multiple changes in Earth's climate system have been observed over the past decades. Determining how likely each of these changes are to have been caused by human influence, is important for decision making on mitigation and adaptation…
Although the fundamental probabilistic theory of extremes has been well developed, there are many practical considerations that must be addressed in application. The contribution of this thesis is four-fold. The first concerns the choice of…
In this paper, we compare static and dynamic (reduced form) approaches for modeling wrong-way risk in the context of CVA. Although all these approaches potentially suffer from arbitrage problems, they are popular (respectively) in industry…
In this paper, using the Bayesian VAR framework suggested by Chan et al. (2025), we produce conditional temperature forecasts up until 2050, by exploiting both equality and inequality constraints on climate drivers like carbon dioxide or…
Climate-related phenomena are increasingly affecting regions worldwide, manifesting as floods, water scarcity, and heat waves, significantly impairing companies' assets and productivity. It is essential for asset managers to quantify the…
Climate change is one of the key topics in climate science. However, previous research has predominantly concentrated on changes in mean values, and few research examines changes in Probability Distribution Function (PDF). In this study, a…
This paper examines the impact of climate shocks on 13 European economies analysing jointly business and financial cycles, in different phases and disentangling the effects for different sector channels. A Bayesian Panel Markov-switching…
The literature on the costs of climate change often draws a link between climatic 'tipping points' and large economic shocks, frequently called 'catastrophes'. The use of the phrase 'tipping points' in this context can be misleading. In…
Valuation adjustments, collectively named XVA, play an important role in modern derivatives pricing to take into account additional price components such as counterparty and funding risk premia. They are an exotic price component carrying a…
In this paper, we assess the impact of climate shocks on futures markets for agricultural commodities and a set of macroeconomic quantities for multiple high-income economies. To capture relations among countries, markets, and climate…
Global warming presents an unprecedented challenge to our planet however comprehensive understanding remains hindered by geographical biases temporal limitations and lack of standardization in existing research. An end to end visual…
In this work we present a general representation formula for the price of a vulnerable European option, and the related CVA in stochastic (either rough or not) volatility models for the underlying's price, when admitting correlation with…
Forecasting conditional stochastic nonlinear dynamical systems is a fundamental challenge repeatedly encountered across the biological and physical sciences. While flow-based models can impressively predict the temporal evolution of…