A0338
Title: Measuring climate risk in finance
Authors: Emese Lazar - University of Reading (United Kingdom) [presenting]
Jingqi Pan - University of Reading (United Kingdom)
Shixuan Wang - University of Reading (United Kingdom)
Abstract: A framework is provided to estimate the climate downside risk (value-at-risk and expected shortfall) that could be attributed to climate risk factors for equity portfolios. We compare the ratio of climate risk to total risk in various equity sectors, identifying the sectors where the climate risk factors contribute most to the total risk.
