Climate change
Climate risk overlays unnerve model-validation teams
Risk Live: Model risk managers fear they lack the data or skills to properly test expert judgement
Degree of influence 2023: Quants thrive on volatility
Climate, crypto and market impact also featured among the top research topics in 2023
Tail sensitivity of stocks to carbon risk: a sectoral analysis
The authors investigate the tail sensitivity of US industry returns in relation to changes of carbon-driven climate risk, finding that tail sensitivities rise with the greenhouse has emissions of an industry.
The role of a green factor in stock prices: when Fama and French go green
The authors propose a means to capture climate change risk exposure by combining a green factor with typical frameworks used for explaining stock returns.
How to account for banks’ contribution to CO2 emissions
Price adjustments will depend on individual counterparties’ carbon footprints
UN climate risk chief calls for shorter-term stress tests
But banks say heavy modelling demands will take time to respond to adequately
Estimating the impact of climate change on credit risk
The author investigates the relationship between climate change and credit risk characteristics of individual obligors and portfolios of credit obligations.
The evolution of buy-side risk: managing the emerging importance of liquidity and climate risk
Risk managers have a tried and tested toolkit for market risk, but recent events and developments have highlighted the need for increasing rigour around liquidity risk and climate risk. This webinar explores the evolving scope of buy-side risk management…
Q&A: The evolution of climate risk assessment
Prerna Divecha of S&P Global Market Intelligence discusses the changing requirements for financial institutions in developing a robust and comprehensive view of climate risk
Social distancing: quantifying the ‘S’ in ESG
The ‘social’ pillar of ESG has been the poor relation in terms of data – until now
Banks begin tackling climate stress tests of trading books
Market risk professionals see major shortcomings in available scenarios
Climate risk models and metrics: what works and what doesn’t?
Panellists at Risk Live Europe 2023 discussed what has been achieved so far in climate risk stress-testing and modelling, alongside what needs tackling next
360° of climate: indexes for every objective
This white paper explores climate strategies targeting objectives – including low carbon, fossil fuel-free and net zero – to help investors respond to the risks and opportunities of the climate challenge
Risk managers mull Basel-style climate standards
Risk Live: Splintered approach to stress-testing across jurisdictions “very, very worrying”, says risk expert
HKMA launches consultation on green taxonomy
Regulator could use proposal to assess progress of banks towards climate goals
Climate risk: a more positive approach pays dividends
As the world grapples with the impacts of climate change, organisations are racing to keep up with new ESG disclosure requirements and climate risk analysis methodologies. But what separates those ahead of the curve from those that are lagging? The…
Basel climate guidance leaves op risk managers in the dark
Banks still unclear on how to fit climate events into existing capital framework
Incorporating climate risk into ALM frameworks at banks
In this webinar convened by Risk.net in collaboration with SS&C Algorithmics, experts discuss the challenges and benefits of incorporating climate risk into asset-liability management frameworks at banks
The carbon equivalence principle: methods for project finance
A method to price the environmental impact of financial products is proposed
Fed’s climate stress test whips up storm for banks
Long-awaited US climate risk exercise puts tough pressure on banks’ data and models
Climate-policy-relevant sectors and credit risk
This paper explores the relationship between banks exposed to climate-policy-relevant sectors and credit risk, finding that banks exposed to higher carbon emitting sectors are subject to greater credit risk than those exposed to less carbon emitting…
Top 10 operational risks for 2023
The biggest op risks for the year ahead, as chosen by senior industry practitioners
Risk.net’s top 10 investment risks for 2023
Geopolitical frictions, sticky inflation and a hard landing are among the hazards cited by investors
ESG: the new risk factor in your portfolio
Risk officers, managers and quants at leading buy-side firms are experimenting with ESG as an ‘alpha enhancement’ to day-to-day risk management, to stay ahead of the pack and boost profit-and-loss margins