信用违约互换市场如何衡量碳风险?
Yuqi Zhang1, Yaorong Liu2, Haisen Wang3,4
1Economics and Management School, Wuhan University, Wuhan, 430072, China.
概括
直接碳排放较高的公司面临更高的信贷风险,由更大的信用违约互换 (CDS) 利差表明. 这种碳风险也会影响长期信贷风险结构,尤其是在重大气候政策事件之后.
科学领域:
- 环境经济学环境经济学
- 金融风险管理 金融风险管理
- 企业的可持续性 企业的可持续发展
背景情况:
- 对碳风险及其系统影响的日益增长的经济担忧.
- 对碳排放如何转化为可衡量的信用风险的理解有限.
研究的目的:
- 调查企业碳排放对信用违约互换 (CDS) 利差的影响.
- 分析碳风险与信贷风险期限结构之间的动态关系.
- 探索碳风险在信贷市场上定价的调解道.
主要方法:
- 对363家美国公司从2007年至2020年的月度数据进行分析.
- 计量经济学建模用于评估直接/间接排放和CDS差额之间的关系.
- 检查巴黎协定作为一种外源性冲击来验证发现.
主要成果:
- 直接碳排放显著增加了CDS差额,表明信贷风险更高.
- 间接排放对信贷市场定价的影响较小.
- 碳风险与CDS期限结构之间存在正相关性,突出显示了长期影响.
结论:
- 碳风险是信贷市场的一个定价因素,特别是直接排放.
- 碳风险对信用风险的影响在长期内更为明显.
- 这些发现支持"碳信用溢价"的存在,并为碳减排战略提供信息.
相关概念视频
Imaging Studies for Cardiovascular System VI: Calcium -Scoring CT
42
Calcium-Scoring CT ScanA calcium-scoring CT scan, also known as coronary artery calcium (CAC) scan, detects calcium deposits in the coronary arteries. This test assesses the risk of coronary artery disease (CAD), which can lead to cardiovascular events such as angina, heart failure, and sudden cardiac arrest.A calcium-scoring CT scan is generally recommended for individuals at intermediate risk of CAD without symptoms. It includes:Men aged 40-75 and women aged 50-75: Especially those with a...
42
Types of Biopharmaceutical Studies: Controlled and Non-Controlled Approaches
148
Biopharmaceutical studies constitute a vital field aiming to enhance drug delivery methods and refine therapeutic approaches, drawing upon diverse interdisciplinary knowledge. In research methodologies, the choice between controlled and non-controlled studies significantly influences the study's reliability and accuracy.
Non-controlled studies, commonly employed for initial exploration, lack a control group, rendering them susceptible to biases and external influences. In contrast,...
Non-controlled studies, commonly employed for initial exploration, lack a control group, rendering them susceptible to biases and external influences. In contrast,...
148
Carbon-13 (¹³C) NMR: Overview
5.8K
Carbon-13 is a naturally occurring NMR-active isotope of carbon with a low natural abundance of 1.1%. In contrast, carbon-12 is the most abundant isotope of carbon with zero nuclear spin. Therefore, it is NMR inactive. The gyromagnetic ratio of carbon-13 is smaller than that of protons. As a result, carbon-13 resonance is about 6000 times weaker than proton resonance. For a given magnetic field strength, the resonance frequency of carbon-13 is about one-fourth of the resonance frequency for...
5.8K
Carbonation Shrinkage
177
Atmospheric CO2 penetrates the concrete's pores and, in the presence of moisture, forms carbonic acid, which then reacts with calcium hydroxide in the hydrated cement, forming calcium carbonate. This process reduces the concrete's volume and is termed carbonation shrinkage.
The concrete's permeability is slightly reduced as calcium carbonate produced during the reaction fills its pores. Furthermore, its strength is slightly enhanced as the water released during the reaction...
The concrete's permeability is slightly reduced as calcium carbonate produced during the reaction fills its pores. Furthermore, its strength is slightly enhanced as the water released during the reaction...
177
Relative Risk
238
Relative risk (RR) is a statistical measure commonly used in epidemiology to compare the likelihood of a particular event occurring between two groups. This metric is important for evaluating the relationship between exposure to a specific risk factor and the probability of a particular outcome. It plays a crucial role in medical research, public health studies, and risk assessment. Relative risk quantifies how much more (or less) likely an event is to occur in an exposed group compared to an...
238
The Carbon Cycle
38.7K
Carbon is the basis of all organic matter on Earth, and is recycled through the ecosystem in two primary processes: one in which carbon is exchanged among living organisms, and one in which carbon is cycled over long periods of time through fossilized organic remains, weathering of rocks, and volcanic activity. Human activities, including increased agricultural practices and the burning of fossil fuels, has greatly affected the balance of the natural carbon cycle.
38.7K


