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DTSTART;TZID=Europe/Helsinki:20240321T103000
DTEND;TZID=Europe/Helsinki:20240321T113000
DTSTAMP:20260815T141252
CREATED:20240318T074755Z
LAST-MODIFIED:20241104T113901Z
UID:16844-1711017000-1711020600@crest.science
SUMMARY:Julien Daubanes\, Technical University of Denmark (DTU Management) "Do Markets Price the Sensitivity of Economic Oil Reserves?"
DESCRIPTION:[vc_row][vc_column][vc_column_text]Quantitative Sustainable Economics and Finance\nTime: 10.30 am\nDate: 21 th of March 2023\nRoom 2041 \nJulien Daubanes\, Technical University of Denmark (DTU Management) “Do Markets Price the Sensitivity of Economic Oil Reserves?” \nAbstract : Climate action will make the production of carbon resources less profitable\, reducing economically exploitable oil reserves and their value\, with implications for the climate\, the oil industry\, and its investors. In this paper\, we measure the sensitivity of economic oil reserves and study the role of this sensitivity in oil companies’ market valuation. Conventional financial analysis already estimates oil companies’ exposure to oil price changes\, among other factors. Yet we claim that the standard model focuses on the impact of oil prices at the intensive margin and ignores changes in economic reserves. First\, we present a theoretical decomposition of the effect of an output price on a firm’s value through the intensive and extensive margins\, which we use to extend the conventional analysis of how oil price movements affect oil companies. We obtain a new testable model relating oil companies’ expected stock returns to both oil price fluctuations and the elasticity of economic oil reserves. We validate this model by exploiting financial data. The model improves the prediction of expected stock returns. Second\, we measure the elasticity of economic reserves to the oil price by exploiting oil reserve data. We obtain time-varying Local Elasticities of Economic Reserves (LEER) of oil companies\, a new metric. Third\, we use LEER measures to explain oil companies’ stock returns. Our results indicate a significant LEER-premium\, accounting for up to more than half the industry’s average excess stock returns. This means that the risk associated with more sensitive economic reserves is material to investors who demand compensation from oil companies for the possibility of stranded assets. \nOrganizers:  \nPeter TANKOV (CREST) – Olivier David ZERBIB (CREST) \n  \nSponsors:\nCREST[/vc_column_text][/vc_column][/vc_row]\n
URL:https://crest.science/event/julien-daubanes-technical-university-of-denmark-dtu-management-do-markets-price-the-sensitivity-of-economic-oil-reserves/
CATEGORIES:Finance-Insurance,Quantitative Sustainable Economics and Finance,Seminars
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DTSTART;TZID=Europe/Helsinki:20240321T113000
DTEND;TZID=Europe/Helsinki:20240321T123000
DTSTAMP:20260815T141252
CREATED:20240318T075118Z
LAST-MODIFIED:20241104T113853Z
UID:16845-1711020600-1711024200@crest.science
SUMMARY:Andra Anoica (BNP)\,  "GHG footprint model and validation"
DESCRIPTION:[vc_row][vc_column][vc_column_text]Quantitative Sustainable Economics and Finance\nTime: 11.30 am\nDate: 21 th of March 2023\nRoom 2041 \nAndra Anoica (BNP)\, “GHG footprint model and validation” \nAbstract : Knowing the greenhouse gas emissions of our clients is paramount in implementing a Sustainable Finance Strategy. But what to do when the data is not available? BNP Paribasproposes a model based on statistical learning techniques to predict unreported corporate greenhouse gas emissions. This presentation will include some elements on this model as well as ways RISK department has challenged the approach. \nOrganizers:  \nPeter TANKOV (CREST) – Olivier David ZERBIB (CREST) \n  \nSponsors:\nCREST[/vc_column_text][/vc_column][/vc_row]\n
URL:https://crest.science/event/andra-anoica-bnp-t-b-a/
CATEGORIES:Finance-Insurance,Quantitative Sustainable Economics and Finance,Seminars
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