A structural approach to climate credit risk,
1 : UZH
2 : EDHEC
École des hautes études commerciales du Nord (EDHEC)
In this paper, we provide a micro-founded model of the evolution of a firm's financial structure and of the emergence of stranded assets in the context of a climate policy scenario.
On this basis, we build a structural credit risk model for transition risk. We analyze the sensitivity of equity and debt valuation to the characteristics of the climate scenario, the level of asset stranding
and the financial policy of the firm
| Subject : | : | Thematic presentation |
| Topics | : | Climate Stress Test |
| PDF version | : |  PDF version |
