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Pricing Climate Change Risks : CAPM with Rare Disasters and Stochastic Probabilities

Karydas, Christos; Xepapadeas, Anastasios - 2019

There are concerns that climate-related physical and political risks are not yet properly reflected in asset prices. To address these concerns, we develop a dynamic asset pricing framework with rare disasters related to climate change. The novelty of this paper lies in linking carbon emissions...

Persistent link: https://www.econbiz.de/10014108526

Carbon dioxide as a risky asset

Bauer, Adam Michael; Proistosescu, Cristian; Wagner, Gernot - 2023

and uncertainty that is consistent with the Intergovernmental Panel on Climate Change's sixth assessment report. We find …

Persistent link: https://www.econbiz.de/10013549072

Pricing climate change risks : CAPM with rare disasters and stochastic probabilities

Karydas, Christos; Xepapadeas, Anastasios - 2019

Persistent link: https://www.econbiz.de/10011962146

Climate change financial risks : pricing and portfolio allocation

Karydas, Christos; Xepapadeas, Anastasios - 2019 - This version: October 2019

There are concerns that climate-related physical and political risks are not yet properly reflected in asset prices. To address these concerns, we develop a dynamic asset pricing framework with two sources of rare disasters: macroeconomic events and climate change. We link carbon emissions and...

Persistent link: https://www.econbiz.de/10012138106

Climate Change and Uncertainty : An Asset Pricing Perspective

Barnett, Michael - 2023

Climate change and uncertainty about its potential consequences has become a central concern for economists, investors … to analyze the implications of climate change and climate model uncertainty on economic and financial market outcomes. I … to climate model uncertainty. Existing empirical estimates are consistent with the model implications, highlighting the …

Persistent link: https://www.econbiz.de/10014255764

Ultra-fast scenario analysis of mortgage prepayment risk

Theiakos, Alexios; Tas, Jurgen M. C.; Lem, Han van der; … - In: Journal of risk 17 (2014/15) 3, pp. 19-33

Persistent link: https://www.econbiz.de/10011298889

Discount models

Filipović, Damir - In: Finance and stochastics 27 (2023) 4, pp. 933-946

Persistent link: https://www.econbiz.de/10014426399

The fundamental theorems of asset pricing and the closed-end fund puzzle

Frahm, Gabriel; Jonen, Alexander; Schüssler, Rainer - In: International journal of theoretical and applied finance 22 (2019) 5, pp. 1-31

Persistent link: https://www.econbiz.de/10012153033

Resilience and Asset Pricing in COVID-19 Disaster

Daadmehr, Elham - 2022

This paper develops a rare disaster asset pricing model with EZ preferences, in particular including the impact of macroeconomic consequences of the COVID-19 disaster. I estimate the probability of disaster, disaster states, and the duration of disaster to shed light on the frequency and size of...

Persistent link: https://www.econbiz.de/10014235623

Disaster Resilience and Asset Prices

Pagano, Marco - 2020

This paper investigates whether security markets price the effect of social distancing on firms' operations. We document that firms that are more resilient to social distancing significantly outperformed those with lower resilience during the COVID-19 outbreak, even after controlling for the...

Persistent link: https://www.econbiz.de/10012833771