Leonardo Bortolan, Università di Bologna
Date: 11 FEBRUARY 2021 from 16:00 to 18:00
Event location: Modalità telematica, mediante sistema di videoconferenza su piattaforma Microsoft Teams
Type: Statistics Seminars
A new source of risk for economic development is arising around the so called ”Climate Change”. Strong evidence of rising temperature and extremes events are opposed to the questionable im-plications it will produce for economic activities. Climate Risk has been incorporated in financial analysis in early 90’s by Nordhaus with Integrated Assessment Model but due to climate model uncertainty it’s challenging to derive its true effect and only in the last decade research in this area experienced a boost. The focus of the project is to understand, decompose, measure and project this source of risk into its main components, namely transition and physical risk, with a regard to implications in credit risk related instruments. We present a first work focused on transition risk and the reduction in firm credit riskiness when credit risk is influenced by regulatory risk, that is predominant in short horizon environment. We compare the performance of bonds issued by the firm which reduced the most and the less C02 emissions. The emissions are divided into short duration and long duration to analyze at which horizon the effect is predominant in terms of portfolio performance and change in the main credit risk factor, Asset Swap Spread.
With regard to physical risk, the result of a combination of climatic hazards, exposures, and vulnerabilities, we present the foundation for a second work aimed to its decomposition into chronic and acute risk trough a C-GARCH volatility decomposition.
l’ Organizzatori Il Direttore
Prof. Christian Hennig Prof. Angela Montanari Prof. Silvia Cagnone
La S.V. è invitata