Related papers: Sovereign Debt Default and Climate Risk
The classical reduced-form and filtration expansion framework in credit risk is extended to the case of multiple, non-ordered defaults, assuming that conditional densities of the default times exist. Intensities and pricing formulas are…
Global sea-level rise causes increasing threats of coastal flood and subsequent pollutant dispersion. However, there are still few studies on the disparity arising from such threats and the extent to which different communities could be…
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 analyze recently proposed mortgage contracts that aim to eliminate selective borrower default when the loan balance exceeds the house price (the ``underwater'' effect). We show contracts that automatically reduce the outstanding balance…
To reduce global biodiversity loss, there is an urgent need to determine the most efficient allocation of conservation resources. Recently, there has been a growing trend for many governments to supplement public ownership and management of…
Intuitively, the default risk of a single borrower is higher when her or his assets and debt are denominated in different currencies. Additionally, the default dependence of borrowers with assets and debt in different currencies should be…
This paper presents an analysis of Green Gross Domestic Product (GGDP) using the System of Environmental-Economic Accounting (SEEA) model to evaluate its impact on global climate mitigation and economic health. GGDP is proposed as a…
Public opinion on environmental issues remains polarized in many countries, posing a significant barrier to the implementation of effective policies. Behind this polarization, empirical studies have identified social susceptibility,…
This study analyzes public debts and deficits between European countries. The statistical evidence here seems in general to reveal that sovereign debts and government deficits of countries within European Monetary Unification-in average-…
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…
We consider a multivariate default system where random environmental information is available. We study the dynamics of the system in a general setting and adopt the point of view of change of probability measures. We also make a link with…
Government trust, as a core concept in political economy and public policy research, serves as a fundamental cornerstone of democratic legitimacy and state capacity. This paper examines how environmental conditions, particularly sunlight…
A model is developed to assess the profitability of loans or mortgages with a specified repayment schedule. Financial institutions face two competing risks: default and prepayment, both influenced by the stochastic evolution of credit…
Intermittent renewable energies are increasingly dominating electricity grids and are forecasted to be the main force driving out fossil fuels from the grid in most major economies until 2040. However, grids based on intermittent renewables…
We propose an evolutionary model to study the transition toward green technology under the influence of innovation. Clean and dirty technologies are selected according to their profitability under an environmental tax, which depends on the…
We study the effects on economic activity of a pure temporary change in government debt and the relationship between the debt multiplier and the level of debt in an overlapping generations framework. The debt multiplier is positive but…
A three-dimensional extension of the structural default model with firms' values driven by correlated diffusion processes is presented. Green's function based semi-analytical methods for solving the forward calibration problem and backward…
In recent decades, the causes and consequences of climate change have accelerated, affecting our planet on an unprecedented scale. This change is closely tied to the ways in which humans alter their surroundings. As our actions continue to…
This study provides a comprehensive strategic analysis of infrastructure energy investment in the context of the global low-carbon transition. Integrating quantitative panel data analysis across 15 countries (2010-2023), detailed case…
The energy trade is an important pillar of each country's development, making up for the imbalance in the production and consumption of fossil fuels. Geopolitical risks affect the energy trade of various countries to a certain extent, but…