Carbon Default Swap – Disentangling the Exposure to Carbon Risk Through CDS
Using Credit Default Swap spreads, we construct a forward-looking, market-implied carbon risk factor. The exposure to climate risk varies from region to region, from industry to industry, and from year to year. Crucially, expectations of an increasingly tighter carbon regulatory framework make carbon risk more prominent in the short term in Europe. Basically, a rapid acceleration of the transformation is likely to have significant financial impacts in the near future and, consequently, a faster decline in credit quality in the nearer versus longer term (especially in Europe).
Date: 22 May 2023, 16:05 (Monday, 5th week, Trinity 2023)
Venue: Manor Road Building, Manor Road OX1 3UQ
Venue Details: Lecture Theatre or https://zoom.us/j/92415955348?pwd=ME5ybjVBVk90aThHdkcwVnZiUWF4Zz09
Speaker: Luca Taschini (University of Edinburgh Business School)
Organising department: Department of Economics
Part of: Environment and Resource Economics Seminar
Booking required?: Not required
Audience: Members of the University only
Editors: Emma Heritage, Daria Ihnatenko