Jean Monnet Project Seminar on Climate Change and Finance “On the dependence of investor’s probability of default on climate transition scenarios”
Friday 29th January 15-16 CET
Speakers: Dr Irene Monasterolo (Boston University; Vienna University of Economics and Business) and discussed by Michelangelo Bruno (Bank of Italy)
LINK: shorturl.at/jtxM3
Abstract of the paper:
Climate risk brings about a new type of financial risk that standard
approaches to risk management are not adequate to handle. Amidst the
growing concern about climate change, financial supervisors and risk
managers are concerned with the risk of a disorderly low-carbon
transition. We develop a model to compute i) the valuation adjustment
of corporate bonds, depending both on climate transition risk
scenarios and on companies’ shares of revenues across low/high-carbon
activities, and ii) the corresponding adjustments of an investor’s
Expected Shortfall and probability of default. Implications for
climate financial risk management include that climate stress test
exercises should allow for a wide enough set of scenarios in order to
limit the underestimation of losses.
The event is organized within the Jean Monnet Project “Assessing the EU
Strategy on Green Finance and ESG factors (AEU_GF)”
(620016-EPP-1-2020-1-IT-EPPJMO-PROJECT) and part of University of Pisa
PRA PROJECT 2020-52 “Shaky capitalism: How business and finance
respond to global threats”.
For further information please write to international@ec.unipi.it