We propose a statistical methodology to quantify the financial implications of tropical cyclone-related physical risks implied by climate change. To address the sensitivity of disaster intensity to climate change, we provide a Monte Carlo methodology to generate synthetic cyclones consistent...

Financial institutions are recognizing the importance of physical climate-related risks and are expected to disclose the presence of such risks in their portfolios. The assessment of physical risks is based on climate data and in particular with the advent of climate change, it will increasingly...