相关论文: Temperature Anomalies and Climate Physical Risk in…

We study the feasibility and noise sensitivity of portfolio optimization under some downside risk measures (Value-at-Risk, Expected Shortfall, and semivariance) when they are estimated by fitting a parametric distribution on a finite sample…

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…

In this article there is no intention to repeat basic concepts about risk management, but we will try to define why often is usefull the time series analysis during the assessment of risks, and how is possible to compute a significative…

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,…

One of the most used metrics to gauge the effects of climate change is the equilibrium climate sensitivity, defined as the long-term (equilibrium) temperature increase resulting from instantaneous doubling of atmospheric CO$_2$. Since…

Extreme value applications commonly employ regression techniques to capture cross-sectional heterogeneity or time-variation in the data. Estimation of the parameters of an extreme value regression model is notoriously challenging due to the…

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…

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 document discusses the financial climate risk in the context of the banking industry, emphasizing the need for a comprehensive understanding of climate change across different spatial and temporal scales. It highlights the challenges in…

Risk management is particularly concerned with extreme events, but analysing these events is often hindered by the scarcity of data, especially in a multivariate context. This data scarcity complicates risk management efforts. Various tools…

Internal climate variability arises from the climate system's inherently chaotic dynamics. Quantifying it is essential for climate science, as it enables risk-based decision-making and differentiates between externally forced change and…

Event attribution in the context of climate change seeks to understand the role of anthropogenic greenhouse gas emissions on extreme weather events, either specific events or classes of events. A common approach to event attribution uses…

Statistical physics and dynamical systems theory are key tools to study high-impact geophysical events such as temperature extremes, cyclones, thunderstorms, geomagnetic storms and many more. Despite the intrinsic differences between these…

With climate change, we are expecting more frequent extreme weather events in many regions worldwide. These events can trigger disruptive, deadly natural hazards, which catch the attention of the media and raise awareness in citizens and…

The climate change dispute is about changes over time of environmental characteristics (such as rainfall). Some people say that a possible change is not so much in the mean but rather in the extreme phenomena (that is, the average rainfall…

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…

We present a novel Bayesian framework for quantifying uncertainty in portfolio temperature alignment models, leveraging the X-Degree Compatibility (XDC) approach with the scientifically validated Finite Amplitude Impulse Response (FaIR)…

Tropical cyclones are affected by a large number of climatic factors, which translates into complex patterns of occurrence. The variability of annual metrics of tropical-cyclone activity has been intensively studied, in particular since the…

Climate change is increasing the intensity and frequency of many extreme weather events, including heatwaves, which results in increased thermal discomfort and mortality rates. While global mitigation action is undoubtedly necessary, so is…

In this paper, we are interested in evaluating the resilience of financial portfolios under extreme economic conditions. Therefore, we use empirical measures to characterize the transmission process of macroeconomic shocks to risk…