Related papers: Physical Climate Risk in Asset Management
Rapid changes in climatic conditions threaten both socioeconomic and ecological systems, as these might not be able to adapt or to migrate at the same pace as that of global warming. In particular, an increase of weather and climate…
Extreme events such as natural and economic disasters leave lasting impacts on society and motivate the analysis of extremes from data. While classical statistical tools based on Gaussian distributions focus on average behaviour and can…
We give a new predictive mathematical model for macroeconomics, which deals specifically with asset prices and earnings fluctuations, in the presence of a dynamic economy involving mergers, acquisitions, and hostile takeovers. Consider a…
We address the problem of banking system resilience by applying off-equilibrium statistical physics to a system of particles, representing the economic agents, modelled according to the theoretical foundation of the current banking…
An accurate assessment of the risk of extreme environmental events is of great importance for populations, authorities and the banking/insurance/reinsurance industry. Koch (2017) introduced a notion of spatial risk measure and a…
Mortgage default rates, on the one hand, serve as a measure of economic health to support decision-making by insurance companies, and on the other hand, is a key risk factor in the asset-liability management (ALM) practice, as mortgage…
The increasing frequency and intensity of extreme weather events is significantly affecting the power grid, causing large-scale outages and impacting power system resilience. Yet limited work has been done on systematically modeling the…
Storm surge, the onshore rush of sea water caused by the high winds and low pressure associated with a hurricane, can compound the effects of inland flooding caused by rainfall, leading to loss of property and loss of life for residents of…
Arctic coastal morphology is governed by multiple factors, many of which are affected by climatological changes. As the season length for shorefast ice decreases and temperatures warm permafrost soils, coastlines are more susceptible to…
Polycrystalline metal failure often begins with stress concentration at grain boundaries. Identifying which microstructural features trigger these events is important but challenging because these extreme damage events are rare and the…
The increasing frequency of global climate extremes has significantly impacted the terrestrial carbon cycle. Extreme weather events such as heatwaves, droughts, and extreme precipitation pose serious threats to ecosystem carbon…
Climate change is a major threat to humanity, and the actions required to prevent its catastrophic consequences include changes in both policy-making and individual behaviour. However, taking action requires understanding the effects of…
In recent years, extreme shocks, such as natural disasters, are increasing in both frequency and intensity, causing significant economic loss to many cities around the world. Quantifying the economic cost of local businesses after extreme…
Climate change significantly increases risks to power systems, exacerbating issues such as aging infrastructure, evolving regulations, cybersecurity threats, and fluctuating demand. This paper focuses on the utilization of Grid Enhancing…
Motivated by the analysis of extreme rainfall data, we introduce a general Bayesian hierarchical model for estimating the probability distribution of extreme values of intermittent random sequences, a common problem in geophysical and…
Climate change is increasing the frequency and severity of natural disasters worldwide. Media coverage of these events may be vital to generate empathy and mobilize global populations to address the common threat posed by climate change.…
Measuring beliefs about natural disasters is challenging. Deep out-of-the-money options allow investors to hedge at a range of strikes and time horizons, thus the 3-dimensional surface of firm-level option prices provides information on (i)…
Uncertainty in return level estimates for rare events, like the intensity of large rainfall events, makes it difficult to develop strategies to mitigate related hazards, like flooding. Latent spatial extremes models reduce uncertainty by…
Climate risk assessments must account for a wide range of possible futures, so scientists often use simulations made by numerous global climate models to explore potential changes in regional climates and their impacts. Some of the…
Survival analysis has become a standard approach for modelling time to default by time-varying covariates in credit risk. Unlike most existing methods that implicitly assume a stationary data-generating process, in practise, mortgage…