Seminario: "Asset pricing and interest rates under extreme climate change financial risks"

 

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On Friday 11th of April at 11:30 am, Prof. Davide Radi (Università Cattolica del Sacro Cuore di Milano) will hold a seminar entitled: "Asset pricing and interest rates under extreme climate change financial risks", in the meeting room on the 3^rd floor of Palazzo delle Scienze (west side). 
 

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Riferimento DEI per questo seminario | DEI reference for this seminar: Prof. Fabio Lamantia

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Abstract

We develop a dynamic asset pricing framework with brown and green assets. Green assets are affected by rare natural disasters linked to climate change by rare macroeconomic events. Brown assets are also affected by transition risk, which is assumed to be related to physical risk. The novelty of the work is to assume that natural disasters are generated by a self-excited jump. Using analytical results and simulations, we show how these natural disasters impact portfolio composition, risk-free rate, credit spread and asset prices.

 

Joint work with M. Santacroce and B. Trivellato