相关论文: Measuring Transition Risk in Investment Funds

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…

Historically, financial risk management has mostly addressed risk factors that arise from the financial environment. Climate risks present a novel and significant challenge for companies and financial markets. Investors aiming for avoidance…

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…

The document provides an overview of financial climate risks. It delves into how climate change impacts the global financial system, distinguishing between physical risks (such as extreme weather events) and transition risks (stemming from…

We develop a financial market model in which a large population of firms chooses dynamic emission strategies under climate transition risk, interacting with both environmentally concerned and neutral investors. Firms face a trade-off…

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…

Driven by the increasing frequency and intensity of natural disasters and chronic climate threats, we investigate the impact of physical climate risk on global equity portfolios. By employing a panel regression analysis on sectoral returns,…

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,…

Despite dramatic growth and cost improvements in renewables, existing energy companies exhibit significant inertia in adapting to the evolving technological landscape. This study examines technology transition patterns by analyzing over…

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…

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 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…

Although there is a growing consensus that a low-carbon transition will be necessary to mitigate the accelerated climate change, the magnitude of transition-risk for investors is difficult to measure exactly. Investors are therefore…

I study the dynamic, general equilibrium implications of climate-change-linked transition risk on macroeconomic outcomes and asset prices. Climate-change-linked expectations of fossil fuel restrictions can produce a ``run on fossil fuels''…

This paper explores asset pricing implications of unemployment risk from sectoral shifts. I proxy for this risk using cross-industry dispersion (CID), defined as a mean absolute deviation of returns of 49 industry portfolios. CID peaks…

Ecosystems around the world are at risk of critical transitions due to increasing anthropogenic pressures and climate change. Yet it is unclear where the risks are higher or where in the world ecosystems are more vulnerable. Here I measure…

Investment style groups investment approaches to predict portfolio return variations. This study examines the relationship between investment style, style consistency, and risk-adjusted returns of Indian equity mutual funds. The methodology…

Sustainable investing refers to the integration of environmental and social aspects in investors' decisions. We propose a novel methodology based on the Triangulated Maximally Filtered Graph and node2vec algorithms to construct an hedging…

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''…

A one-size-fits-all paradigm that only adapts the scale and immediate outcome of climate investment to economic circumstances will provide a short-lived, economically inadequate response to climate issues; given the limited resources…