We develop an additive Cox proportional hazard model with time-varying covariates, including spatio-temporal characteristics of weather events, to study the impact of weather extremes (heavy rains and tropical cyclones) on the probability of mortgage default and prepayment. We estimate the model...

The finance literature on carbon risk focuses mostly on the extent to which this risk is currently priced in financial markets. This paper sheds light on a complementary question, i.e. what could be the level of potential carbon risk implied by different future climate policy scenarios. To this...