Related papers: Quantifying firm-level risks from nature deteriora…
This paper examines how investment in environmentally sustainable practices impacts employment and labor productivity growth of firms in transition economies. The study considers labor skill composition and geographical differences,…
Diseases originating from wildlife pose a significant threat to global health, causing human and economic losses each year. The transmission of disease from animals to humans occurs at the interface between humans, livestock, and wildlife…
The demand for electricity is undergoing considerable spatial and temporal change. With the uptake of efficient technologies and increased electrification, a better understanding of how potential changes in demand patterns can affect…
The alarming rise in the quantity of malware in the last few years poses a serious challenge to the security community and requires urgent response. However, current countermeasures seem to be no longer effective. Thus, it is our belief…
We study a credit risk model which captures effects of economic interactions on a firm's default probability. Economic interactions are represented as a functionally defined graph, and the existence of both cooperative, and competitive,…
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…
Biodiversity loss is accelerating at an unprecedented pace, threatening ecosystem stability, economic resilience, and human well-being, with billions required to reverse current trends. Against this backdrop, biodiversity finance has…
Humanity's progress in combating hunger, poverty, and child mortality is marred by escalating environmental degradation due to rising greenhouse gas emissions and climate change impacts. Despite positive developments, ecosystems are…
This paper introduces and studies factor risk measures. While risk measures only rely on the distribution of a loss random variable, in many cases risk needs to be measured relative to some major factors. In this paper, we introduce a…
An increase in the novelty of news predicts negative stock market returns and negative macroeconomic outcomes over the next year. We quantify news novelty - changes in the distribution of news text - through an entropy measure, calculated…
We propose an evolutionary competition model to investigate the green transition of firms, highlighting the role of adjustment costs, dynamically adjusted transition risk, and green technology progress in this process. Firms base their…
Drawing on the attention based view, this study explores the joint effects of natural disaster intensity at the country level with personal attributes in terms of gender, human capital, and fear of failure on the likelihood to enter social…
We identify a new type of risk, common firm-level investor fears, from commonalities within the cross-sectional distribution of individual stock options. We define firm-level fears that link with upward price movements as good fears, and…
According to different typologies of activity and priority, risks can assume diverse meanings and it can be assessed in different ways. In general risk is measured in terms of a probability combination of an event (frequency) and its…
Like ESG investing, climate change is an important concern for asset managers and owners, and a new challenge for portfolio construction. Until now, investors have mainly measured carbon risk using fundamental approaches, such as with…
In this paper, we provide an integrated systems modeling approach to analyzing global externalities from a microeconomic perspective. Various forms of policy (fiscal, monetary, etc.) have addressed flaws and market failures in models, but…
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…
This paper proposes a new measure of tail risk spillover. The empirical application provides evidence of significant volatility and tail risk spillovers from the financial sector to many real economy sectors in the U.S. economy in the…
We use a methodology based on a machine learning algorithm to quantify firms' cyber risks based on their disclosures and a dedicated cyber corpus. The model can identify paragraphs related to determined cyber-threat types and accordingly…
We investigate the impact of available information on the estimation of the default probability within a generalized structural model for credit risk. The traditional structural model where default is triggered when the value of the firm's…