risk metrics computed from a copula-based model of dependence between financial firm returns and financial asset market … returns: climate transition expected returns, climate transition value-at-risk, and climate transition expected shortfall …. Empirical evidence for European financial firms over the period 2013-2020 indicates that the climate transition risk varies …

This paper studies the evolution of the greenium, i.e. a risk premium linked to firms' greenness and environmental … transparency, based on individual stock returns. We estimate an asset pricing model with time-varying risk premia, where the …

This study provides evidence on the existence of a negative Greenium, i.e. a green risk premium, based on European … portfolio exposure to climate risk and hedge against it. We estimate that even in a rather benign scenario, there would be …

We aim to improve upon the existing empirical literature on international risk sharing under three dimensions. First …, we generalize dynamic multi-equation approaches to the estimation of risk sharing channels, by adopting a Heterogeneous … Panel VAR model. Within this framework, the coefficients representing the extent of risk sharing achieved through the …