The Systemic Risk of Climate Change

气候变化是我们现代世界面临的最大问题之一，也是影响最深远的问题。气候融资是指使世界向减少温室气体排放的状态过渡并减轻气候变化风险的投资，对学者来说是一个相对较新的领域。我们从文献中了解到，气候变化的影响，加上《巴黎协定》规定的将气候变化控制在限度内的目标，对公司层面和金融市场产生了影响。如果我们不立即开始采取行动，这将给未来带来巨大风险。因此，有必要更深入地了解这些气候效应如何影响金融世界以及它们可能造成的系统性风险水平。系统性风险是金融系统或市场的金融崩溃风险，而不是单个公司的金融风险，是2008年金融危机经济崩溃的主要原因。在我对已发表文献的回顾中，我已经确定了我希望通过研究填补的空白。我将贡献于当前的文献（Hong et al.（2020）），以回答主要的论文问题：“气候变化对企业系统性风险的影响是什么？”“为了证明我的研究问题，我建议从文献中发现的空白中进行三个不同的子研究问题和调查。这些是：1.气候变化的影响，如温度和降水量的变化，如何影响公司的系统风险？2.干旱和野火等气候变化灾害如何影响公司的系统性风险？3.海平面上升和洪水会导致股市波动加剧吗？为了回答前两个问题，我将采用一种称为CoVaR的风险建模方法。这是一种有吸引力的建模技术，因为我们可以确定哪些公司受到气候冲击的影响，以及这些风险公司之间的相互联系。CoVaR允许对气候变化影响的风险价值依赖性进行建模，然后进行回归分析，显示气候变化影响是否确实对建模的系统性风险产生影响。回答第三个研究问题的方法遵循Murfin和Spiegel（2020）提出的全面框架。使用数据计算海平面上升（SLR）和海岸距离之间的横截面差异，然后模拟淹没时间。将进行分析，模拟公司的价格可能会受到先前模拟的淹没时间的影响。回归分析被用来作为一个测试设置，以调查价格波动是否确实是由公司的位置和SLR风险。我的研究结果将有助于更好地了解气候变化造成的金融风险。我将提供一个框架来建立一个数据库，表明哪些气候风险影响哪些公司以及这些风险和公司之间的相互联系。这一数据库将有助于利用金融市场推动采取积极行动，缓解气候变化的影响，并使决策者更好地了解金融系统中的气候风险。

Climate change is one of the biggest problems that faces our modern world and the most far reaching. Climate finance, which refers to the investments that align the world with a transition to a state of reduced emissions of greenhouse gases and to mitigate against the risk of climate change, is a relatively new frontier for academics. We know from literature that the effect of climate change, combined with the goals to keep climate change to the limits set out by the Paris Agreement, have impacts at firm level and upon the financial markets. This poses great risk for the future if we do not start to act immediately. For this reason, there is need for deeper understanding of how these climate effects impact on the world of finance and the level of systemic risk they may cause. Systemic risk is the risk of financial collapse across financial systems, or the market, as opposed to the financial risk of an individual firm and was a major contributor to the economic collapse in the 2008 financial crisis. In my review of the published literature, I have identified gaps that I wish to fill through my research. I will contribute to the current literature (Hong et al. (2020)) in answering the main thesis question: 'What is the effect of climate change on the systemic risk of firms?' In order to qualify proof of my research question, I propose to undertake three different sub-research questions and investigations from the gaps I have found in the literature. These are: 1. How do climate change effects such as variation in temperature and precipitation affect the systemic risk of firms? 2. How do climate change disasters such as droughts and wildfires affect the systemic risk of firms? 3. Do rising sea levels and flooding cause increased stock market volatility? To answer the first two questions, I will undertake a risk modelling methodology known as CoVaR. An attractive modelling technique, as we can pinpoint which firms are affected by the climate shocks and the interconnectivity between firms of these risks. CoVaR allows modelling of the Value at Risk dependency of the climate change effects and then a regression analysis follows, showing if climate change effects indeed do haveeffect on the modelled systemic risk. The methodology to answer the third research question follows a thorough framework presented by Murfin and Spiegel (2020). Using data to calculate cross sectional differences between sea level rise (SLR) and coastal distance, the time to inundation will then be modelled. An analysis will be performed, modelling the price of the firm may be impacted by the previously modelled time to inundation. A regression analysis is used as a test setting to investigate if price volatility is indeed caused by the firm's location and SLR risk. The results of my research will add to a greater understanding of the financial risk caused by climate change. I will provide a framework to build a database indicating which climate risks affect which firms and the interconnectivity of these risks and firms. This database would help in using the financial markets as a driving force for positive action in the mitigation of the effects of climate change and for policy makers to have a greater understanding of climate risk in the financial system.