Related papers: Temperature Anomalies and Climate Physical Risk in…
Climate-related phenomena are increasingly affecting regions worldwide, manifesting as floods, water scarcity, and heat waves, significantly impairing companies' assets and productivity. It is essential for asset managers to quantify the…
In empirical research, this article uses daily climate data provided by the National Oceanic and Atmospheric Administration (NOAA) of the United States to construct a temperature box with a range of 5\( ^\circ\text{C} \), focusing on…
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…
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…
Extreme event attribution characterizes how anthropogenic climate change may have influenced the probability and magnitude of selected individual extreme weather and climate events. Attribution statements often involve quantification of the…
The instability of historical risk factor correlations renders their use in estimating portfolio risk extremely questionable. In periods of market stress correlations of risk factors have a tendency to quickly go well beyond estimated…
The financial sector is increasingly concerned with the physical risks of climate change, but economic and financial impact representations are still developing, particularly for chronic risks. Mexico's Central Bank conducted a…
Managing a portfolio to a risk model can tilt the portfolio toward weaknesses of the model. As a result, the optimized portfolio acquires downside exposure to uncertainty in the model itself, what we call "second order risk." We propose a…
This paper studies natural disasters and the psychological costs of climate change. It presents what we believe to be the first evidence that higher temperature variability and not a higher level of temperature is what predicts natural…
With a changing climate, the frequency and intensity of extreme weather events are likely to increase, posing a threat to infrastructure systems' resilience. The response of infrastructure systems to localised failures depends on whether…
This article develops multiple novel climate risk measures (or variables) based on the television news coverage by Bloomberg, CNBC, and Fox Business, and examines how they affect the systematic and idiosyncratic risks of clean energy firms…
Climate adaptation could yield significant benefits. However, the uncertainty of which future climate scenarios will occur decreases the feasibility of proactively adapting. Climate adaptation projects could be underwritten by benefits paid…
The resilience of electric power grids is threatened by natural hazards. Climate-related hazards are becoming more frequent and intense due to climate change. Statistical analyses clearly demonstrate a rise in the number of incidents (power…
In this article, we present a novel approach for the construction of an environment-friendly green portfolio using the ESG ratings, and application of the modern portfolio theory to present what we call as the ``green efficient frontier''…
Climate extremes such as floods, storms, and heatwaves have caused severe economic and human losses across Europe in recent decades. To support the European Union's climate resilience efforts, we propose a statistical framework for…
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 the sensitivity to estimation error of portfolios optimized under various risk measures, including variance, absolute deviation, expected shortfall and maximal loss. We introduce a measure of portfolio sensitivity and test the…
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…
Weather parametric insurance relies on weather indices rather than actual loss assessments, enhancing claims efficiency, reducing moral hazard, and improving fairness. In the context of increasing climate change risks, despite growing…
This paper introduces a novel approach to financial crisis prediction by establishing a thermodynamic-like framework derived from the fluctuation theorem of statistical physics. We define market temperature through the probability ratio of…