HIGHLIGHTS
SUMMARY
The authors then undertake two additional assessments of future climate driven credit risk by applying an assumed relationship between NGFS global mean temperatures (GMTs) and credit-factor volatilities. All three prospective climate credit risk assessments utilize an empirically-based, creditfactor model estimated from market-based measures of credit risk to highlight the potential role for climate induced increases in volatility. All three predicted credit loss assessments suggest that volatility not changes to economic trends ultimately drives higher potential credit risks relating to climate change. The key contributions of this paper are the application of . . .
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