Enhancing climate scenarios for investors: Discover the latest EDHEC-Risk Climate publication and join the next webinar
Riccardo Rebonato, EDHEC Professor and EDHEC-Risk Climate Scientific Director, and Dherminder Kainth, EDHEC-Risk Climate Research Director, have just published a white paper entitled “Climate Scenario Analysis and Stress Testing for Investors: A Probabilistic Approach”. They will provide insights into this paper at a webinar on March 14, 2024 (2 pm CET). Find out more about this paper and join the more than 500 people who have already signed up.
What this paper and the forthcoming seminar are about
Existing climate scenarios, inspired by the IPCC framework, provide invaluable insights but were not designed for financial uses. New research by EDHEC-Risk Climate Impact Institute, “Climate Scenario Analysis and Stress Testing for Investors: A Probabilistic Approach” (Jan. 2024 - R. Rebonato, D. Kainth and L. Melin), explores approaches to enrich the existing framework with probabilistic information.
While the use of stress testing and scenario analysis is a generally accepted concept in financial risk management, climate scenarios are different in two respects: because they cannot be built by ‘resampling’ past history; and because the end users of the scenarios are unlikely to be able to associate them even with very approximate probabilities.
In this paper, which will be presented in a dedicated webinar, the authors propose a framework to produce scenarios allowing finance practitioners to both understand which outcomes are more likely and should therefore attract greater attention; and to get a better appreciation of what lies in the tails of the damage distribution. This has important practical investment implications for portfolio allocation and could also be used to refine valuation models to quantify and manage climate risks at a granular level.
March 14, 2024 - Attend the webinar on “How to Enhance Climate Scenarios for Investors”
EDHEC-Risk Climate Impact Institute is pleased to invite you to an exclusive webinar on Thursday 14 March at 2:00pm CET.
Riccardo Rebonato, EDHEC Professor and EDHEC-Risk Climate Scientific Director and Dherminder Kainth, EDHEC-Risk Climate Research Director, will provide insights into their latest white paper and will answer the audience’s questions.
>> To register, follow this link:
https://edhec-dbd.zoom.us/webinar/register/3017084483522/WN_bpuLb9ZdQa-qZl0ren9tuw
This seminar will address the following issues:
- Why climate scenarios are important, and why they differ from market-risk scenarios.
- Do current industry scenarios meet the needs of investors?
- Putting uncertainty centre stage: how to create probability distributions of economic damages.
- Giving investors what they need: from probability distributions to probability-aware scenarios.
- Reverse stress testing with climate damages.
Download the paper “Climate Scenario Analysis and Stress Testing for Investors: A Probabilistic Approach”
A publication by EDHEC-Risk Climate Impact Institute – January 2024.
Authors: Riccardo Rebonato, Dherminder Kainth, Lionel Melin
>> To download this paper, follow this link:
https://climateimpact.edhec.edu/publications/climate-scenario-analysis-and-stress-testing
IPE viewpoint: “Investor climate scenarios need to be probability-aware”
On February 9, 2024, Investment & Pensions Europe (ipe.com) has invited Riccardo Rebonato to write a column on his latest research.
>> To read this column, follow this link:
