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X-WR-CALDESC:Events for CREST
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DTSTART:20260329T010000
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DTSTART;TZID=Europe/Helsinki:20260122T100000
DTEND;TZID=Europe/Helsinki:20260122T230000
DTSTAMP:20260712T044735
CREATED:20251208T104028Z
LAST-MODIFIED:20260116T140350Z
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SUMMARY:Pauline CHIKHANI (Université de Lausanne ) "Climate Protection Gap and Private Self-Insurance"
DESCRIPTION:Quantitative Sustainable Economics and Finance \nTime: 10.00 am\nDate:22th of January 202\nRoom 3049 \nPauline CHIKHANI (Université de Lausanne ) “Climate Protection Gap and Private Self-Insurance” \nAbstract : How effective is self-insurance against climate risk for households? I study this question using a heterogeneous-agent model in which households face idiosyncratic capital depreciation shocks from natural disasters. Households live in “climate zones” that differ in terms of shock frequency and severity. I estimate the shocks and the Markov transition matrix over climate zones using U.S. county-level measures of disaster-induced capital depreciation. I use this framework to study how climate change\, modeled as an increase in the probability of transitioning toward riskier climate zones\, shapes precautionary savings and wealth dynamics under incomplete markets. \nOrganizers:  Patricia Crifo\, Emmanuel Gobet\, Peter Tankov\, Gauthier Vermandel\, and Olivier David Zerbib \nSponsors:\nCREST-CMAP \n
URL:https://crest.science/event/pauline-chikhani-universite-de-lausanne-t-b-a/
CATEGORIES:Finance-Insurance,Quantitative Sustainable Economics and Finance,Seminars
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DTSTART;TZID=Europe/Helsinki:20260122T110000
DTEND;TZID=Europe/Helsinki:20260122T120000
DTSTAMP:20260712T044735
CREATED:20251208T104510Z
LAST-MODIFIED:20251209T064218Z
UID:18628-1769079600-1769083200@crest.science
SUMMARY:Lionel MELIN (EDHEC) "Quantifying Climate Risk Premia"
DESCRIPTION:Quantitative Sustainable Economics and Finance \nTime: 11.00 am\nDate:22th of January 202\nRoom 3049 \nLionel MELIN (EDHEC) “Quantifying Climate Risk Premia” \nAbstract : What are the quantified risks that climate change poses for financial markets? The physics of climate change are well understood\, with their uncertainty. Empirical studies provide estimates of the economic damage from rising global temperatures and the costs of curbing such a rise. We build on this basis a precisely calibrated dual framework: linking a climate module with a long-run-risks workhorse asset-pricing model. It incorporates both physical damage and transition cost channels\, while capturing the economic activity impact on temperatures. Our framework delivers closed-form solutions for climate-affected and time-dependent risk-free rate\, equity risk premia and price-dividends ratios. We show that chronic climate risks alone\, away from tipping points\, result in an increase of the equity risk premium by almost 20% in a 3°C world. Enough to anticipate a likely market repricing. \nOrganizers:  Patricia Crifo\, Emmanuel Gobet\, Peter Tankov\, Gauthier Vermandel\, and Olivier David Zerbib \nSponsors:\nCREST-CMAP \n
URL:https://crest.science/event/lionel-melin-edhec-quantifying-climate-risk-premia/
CATEGORIES:Finance-Insurance,Quantitative Sustainable Economics and Finance,Seminars
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