Art der Publikation: Beitrag in Sammelwerk

Climate Risk in Structural Credit Models

Autor(en):

Blasberg, A.; Kiesel, R.

Auflage:

2. Auflage

Herausgeber:

Benth, F. E.; Veraart, A. E. D.

Titel des Sammelbands:

Quantitative Energy Finance: Recent Trends and Developments

Seiten:

247-267

Verlag:

Springer

Veröffentlichung:

2023

ISBN:

978-3-031-50597-3

Digital Object Identifier (DOI):

doi:10.1007/978-3-031-50597-3_7

Link zum Volltext:

https://link.springer.com/chapter/10.1007/978-3-031-50597-3_7

Zitation:

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Kurzfassung

This survey article reviews the current state of literature on how structural models of credit risk are employed to model the impact of climate risk on financial markets. We discuss how the two prominent types of climate risk, physical and transition risk, are captured by the seminal Merton model and its well-known extensions. Theoretical and practical advantages and drawbacks are worked out and an outlook on possible model improvements is provided.