3164. A multi-asset pricing model with climate financial risks
Invited abstract in session WB-7: Portfolio Management, stream Risk Management in Commodities and Financial Markets .
Wednesday, 10:30-12:00Room: Clarendon GR.01
Authors (first author is the speaker)
| 1. | Davide Radi
|
| DiMSEFA, Università Cattolica del Sacro Cuore |
Abstract
We develop a dynamic asset pricing framework with brown and green assets. Green assets are affected by rare natural disasters linked to climate change by rare macroeconomic events. Brown assets are also affected by transition risk which is assumed to be related to physical risk. The novelty of the work is to assume that natural disasters are generated by a self-excited jump. Using analytical results and simulations we show how these natural disasters impact portfolio composition, risk-free rate, credit spread and asset prices.
Keywords
- Financial Modelling
- Finance and Banking
- Stochastic Optimization
Status: accepted
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