相关论文: Single Event Transition Risk: A Measure for Long T…
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…
This paper investigates strategic investments needed to mitigate transition risks, particularly focusing on sectors significantly impacted by the shift to a low-carbon economy. It emphasizes the importance of tailored sector-specific…
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 present the single event effect (SEE) tolerance of a mixed-signal application-specific integrated circuit (ASIC) developed for a charge-coupled device camera onboard a future X-ray astronomical mission. We adopted proton and heavy ion…
On the way towards carbon neutrality, climate stress testing provides estimates for the physical and transition risks that climate change poses to the economy and the financial system. Missing firm-level CO2 emissions data severely impedes…
This paper addresses estimates of climate risk embedded within a bank credit portfolio. The proposed Climate Extended Risk Model (CERM) adapts well known credit risk models and makes it possible to calculate incremental credit losses on a…
A transition to a low-carbon electricity supply is crucial to limit the impacts of climate change. Reducing carbon emissions could help prevent the world from reaching a tipping point, where runaway emissions are likely. Runaway emissions…
This article studies the impact of carbon risk on stock pricing. To address this, we consider the seminal approach of G\"orgen \textsl{et al.} (2019), who proposed estimating the carbon financial risk of equities by their carbon beta. To…
The financial crisis has dramatically demonstrated that the traditional approach to apply univariate monetary risk measures to single institutions does not capture sufficiently the perilous systemic risk that is generated by the…
Systemic risk is the risk that a company- or industry-level risk could trigger a huge collapse of another or even the whole institution. Various systemic risk measures have been proposed in the literature to quantify the domino and…
Rare events such as conformational changes in biomolecules, phase transitions, and chemical reactions are central to the behavior of many physical systems, yet they are extremely difficult to study computationally because unbiased…
This paper extends the application of ESG score assessment methodologies from large corporations to individual farmers' production, within the context of climate change. Our proposal involves the integration of crucial agricultural…
We describe a method that uses Optical Transition Radiation (OTR) screens to measure in a single shot the emittance of an electron beam with an energy greater than 100 MeV. Our setup consists of 4 OTR screens located near a beam waist. A…
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,…
Conditional Value-at-Risk (CoVaR) quantifies systemic financial risk by measuring the loss quantile of one asset, conditional on another asset experiencing distress. We develop a Transformer-based methodology that integrates financial news…
Having reliable estimates of the occurrence rates of extreme events is highly important for insurance companies, government agencies and the general public. The rarity of an extreme event is typically expressed through its return period,…
An intense research on financial market microstructure is presently in progress. Continuous time random walks (CTRWs) are general models capable to capture the small-scale properties that high frequency data series show. The use of CTRW…
With online shopping gaining massive popularity over the past few years, e-commerce platforms can play a significant role in tackling climate change and other environmental problems. In this study, we report that the "attitude-behavior" gap…
Transition risk can be defined as the business-risk related to the enactment of green policies, aimed at driving the society towards a sustainable and low-carbon economy. In particular, the value of certain firms' assets can be lower…
Continued interest in sustainable investing calls for an axiomatic approach to measures of risk and reward that focus not only on financial returns, but also on measures of environmental and social sustainability, i.e. environmental,…