Related papers: Climate Change Valuation Adjustment (CCVA) using p…
Previous studies showed that hydro-climate processes are stochastic and complex systems, and it is difficult to discover the hidden patterns in the all non-stationary data and thoroughly understand the hydro-climate relationships. For the…
Given the importance of public support for policy change and implementation, public policymakers and researchers have attempted to understand the factors associated with this support for climate change mitigation policy. In this article, we…
Wrong-Way Risk (WWR) is an important component in Funding Valuation Adjustment (FVA) modelling. Yet, the standard assumption is independence between market risks and the counterparty defaults and funding costs. This typical industrial…
Industrial operations have grown exponentially over the last century, driving advancements in energy utilization through vehicles and machinery.This growth has significant environmental implications, necessitating the use of sophisticated…
Extreme sea level estimates are fundamental for mitigating against coastal flooding as they provide insight for defence engineering. As the global climate changes, rising sea levels combined with increases in storm intensity and frequency…
We present the conditional value-at-risk (CVaR) in the context of Markov chains and Markov decision processes with reachability and mean-payoff objectives. CVaR quantifies risk by means of the expectation of the worst p-quantile. As such it…
An essential and challenging problem in causal inference is causal effect estimation from observational data. The problem becomes more difficult with the presence of unobserved confounding variables. The front-door adjustment is a practical…
Variable importance plays a pivotal role in interpretable machine learning as it helps measure the impact of factors on the output of the prediction model. Model agnostic methods based on the generation of "null" features via permutation…
The document discusses the financial climate risk in the context of the banking industry, emphasizing the need for a comprehensive understanding of climate change across different spatial and temporal scales. It highlights the challenges in…
We study how the climate transition through a low-carbon economy, implemented by carbon pricing, propagates in a credit portfolio and precisely describe how carbon price dynamics affects credit risk measures such as probability of default,…
The importance of collateralization through the change of funding cost is now well recognized among practitioners. In this article, we have extended the previous studies of collateralized derivative pricing to more generic situation, that…
Assessing climate risk and its potential impacts on our cities and economies is of fundamental importance. Extreme weather events, such as hurricanes, floods, and storm surges can lead to catastrophic damages. We propose a flexible approach…
This paper develops a continuous-time filtering framework for estimating a hazard rate subject to an unobservable change-point. This framework naturally arises in both financial and insurance applications, where the default intensity of a…
Bank behaviour is important for pricing XVA because it links different counterparties and thus breaks the usual XVA pricing assumption of counterparty independence. Consider a typical case of a bank hedging a client trade via a CCP. On…
Conditional value-at-risk (CVaR) is a prominent risk measure in financial engineering, energy systems, and supply chain management. In these domains, Markov decision processes (MDPs) with a long-run CVaR criterion effectively mitigate cost…
This paper studies a regression model with functional dependent and explanatory variables, both of which exhibit nonstationary dynamics. The model assumes that the nonstationary stochastic trends of the dependent variable are explained by…
In this paper we discuss the issue of computation of the bilateral credit valuation adjustment (CVA) under rating triggers, and in presence of ratings-linked margin agreements. Specifically, we consider collateralized OTC contracts, that…
To assess the impact of climate change on the Canadian economy, we investigate the relationship between seasonal climate variables and economic growth across provinces and economic sectors. We also provide projections of climate change…
The urgency of climate change is now recognized globally. As humanity confronts the critical need to mitigate climate change and foster sustainability, data visualization emerges as a powerful tool with a unique capacity to communicate…
We present a unified framework for computing CVA sensitivities, hedging the CVA, and assessing CVA risk, using probabilistic machine learning meant as refined regression tools on simulated data, validatable by low-cost companion Monte Carlo…