Related papers: Physical Climate Risk in Asset Management
The financial losses from extreme weather events can have a disastrous effect, often costing billions of pounds. While changes in the disposition of individual events is of importance to both the insurance and re-insurance industries, these…
The growing prevalence of extreme weather events driven by climate change poses significant challenges to power system resilience. Infrastructure damage and prolonged power outages highlight the urgent need for effective grid-hardening…
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…
Floods rank among the costliest natural hazards, causing over USD 100 billion in insured losses between 2013 and 2023. In France, persistent deficits in the natural catastrophe scheme highlight the need for accurate, building-scale flood…
Climate change is amplifying extreme precipitation events in many regions and imposes substantial challenges for the resilience of road drainage infrastructure. Conventional design storm methodologies, which rely on historical trends of…
It is important for policymakers to understand which financial policies are effective in increasing climate risk disclosure in corporate reporting. We use machine learning to automatically identify disclosures of five different types of…
In structural credit risk models, default events and the ensuing losses are both derived from the asset values at maturity. Hence it is of utmost importance to choose a distribution for these asset values which is in accordance with…
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…
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,…
Decisions related to electric power systems planning and operations rely on assumptions and insights informed by historic weather data and records of past performance. Evolving climate trends are, however, changing the energy use patterns…
We develop a comprehensive framework to measure the impact of the climate transition on investment portfolios. Our analysis is enriched by including geographical, sectoral, company and ISIN-level data to assess transition risk. We find that…
We study investment and insurance demand decisions for an agent in a theoretical continuous-time expected utility maximization model that combines risky assets with an (exogenous) insurable background risk. This risk takes the form of a…
We estimate the loss of value that companies might suffer from nature overexploitation. We find that global equities shed 26.8% in a scenario of unabated nature decline, while the worst-performing firms lose ~75% of their value. Our risk…
The frequency of disruptive and newly emerging threats (e.g. man-made attacks--cyber and physical attacks; extreme natural events--hurricanes, earthquakes, and floods) has escalated dramatically in the last decade. Impacts of these events…
In recent years, the climate change research community has become highly interested in describing the anthropogenic influence on extreme weather events, commonly termed "event attribution." Limitations in the observational record and in…
Despite major advances in climate science over the last 30 years, persistent uncertainties in projections of future climate change remain. Climate projections are produced with increasingly complex models which attempt to represent key…
How regional heterogeneity in social and cultural processes drive--and respond to--climate dynamics is little studied. Here we present a coupled social-climate model stratified across five world regions and parameterized with geophysical,…
Modern economic systems face unprecedented socioeconomic challenges, making systemic resilience and effective liquidity flow management essential. Traditional models such as CAPM, VaR, and GARCH often fail to reflect real market…
Simultaneous concurrence of extreme values across multiple climate variables can result in large societal and environmental impacts. Therefore, there is growing interest in understanding these concurrent extremes. In many applications, not…
We consider insurance derivatives depending on an external physical risk process, for example a temperature in a low dimensional climate model. We assume that this process is correlated with a tradable financial asset. We derive optimal…