A Financial Mathematics Approach to Climate Change Risk

近年来，研究气候变化对金融服务业的影响具有重要意义。英国央行（Bank of England）行长马克•卡尼（Mark Carney）最近在伦敦劳埃德银行（Lloyds of London）发表演讲时表示：“科学证据的重要性和金融体系的动态相结合表明，在适当的时候，气候变化将威胁到金融弹性和长期繁荣。”虽然仍有时间采取行动，但机会之窗是有限的，而且正在关闭。***拟议研究计划的主要目标是推进金融建模，以减轻气候变化的不利影响，并加强向低碳经济的过渡。***该计划的一些核心目标包括以下内容。首先，金融机构在引导更广泛的经济向低碳未来转型方面发挥着不可或缺的作用，具体做法是为减排和适应项目提供融资，将投资重新分配给可再生能源和清洁技术，并通过与气候变化相关的财务披露继续鼓励透明度。然而，金融机构的哪些行动/投资以及以何种比例最有效地减缓气候变化？这个研究项目的核心目标之一将是使用气候变化风险的数学模型来回答这个问题。第二，关于未来地球气候变暖的时间和程度、损害程度以及社会适应变暖气候的能力的预测存在很大的不确定性。此外，这种不确定性超越了传统的概率不确定性，因为有些结果甚至无法推测。本研究将开发框架和具体方法，将气候变化风险的模糊性纳入金融建模。***第三，金融机构容易受到气候变化风险的影响，如果不进行适当的对冲，可能会因气候情绪的短期变化而导致重大损失。本研究计划的结果将促进我们对投资组合中绿色投资的战略资产配置的认识。***由于该计划本质上是跨学科的，代表了气候科学与经济学和金融学数学建模的一个具有挑战性的交叉点，因此其预期结果对从事金融数学工作的人，政府（例如政策制定者），气候科学家和金融服务行业（银行，保险公司，养老基金）尤为重要。鉴于加拿大对《巴黎气候协定》的承诺，该研究项目对于建立加拿大在气候政策方面的领导地位和发展轨迹尤为重要。

It has recently been of substantial importance to study the impact of climate change on financial services industry. In his recent speech to Lloyds of London, Bank of England Governor, Mark Carney, said:***The combination of the weight of scientific evidence and the dynamics of the financial system suggest that, in the fullness of time, climate change will threaten financial resilience and longer-term prosperity. While there is still time to act, the window of opportunity is finite and closing.***The main objective of the proposed research program is to advance financial modelling in order to mitigate adverse effects of climate change and to reinforce the transition to lower-carbon economies.***Some of the core objectives of the program include the following. First, financial institutions play an integral role in guiding the broader economy's transition to a low-carbon future through the financing of abatement and adaptation projects, by reallocating investments towards renewable energies and clean technologies, and by continuing to encourage transparency through climate change-related financial disclosure. However, what actions/investments of financial institutions and in what proportions will mitigate climate change most efficiently? One of the core goals of this research program will be to use mathematical modelling with climate change risk to answer this question.***Second, there is substantial uncertainty in projections regarding the timing and extent of the future warming of the earth's climate, the level of damages, and society's ability to adapt to a warmer climate. Furthermore, this uncertainty goes beyond the traditional probabilistic uncertainty in the sense that some outcomes cannot be even conjectured. This research will develop the framework and specific approaches to incorporate ambiguity about climate change risk into financial modelling.***Third, financial institutions are susceptible to the climate change risk which, if not properly hedged, could lead to substantial losses as a consequence of the short term shifts in climate sentiment. The results of this research program will advance our knowledge of strategic asset allocation when green investments are included in the investment portfolios. ***Since the program is interdisciplinary in nature and represents a challenging intersection of Climate Science with Mathematical Modelling in Economics and Finance, its anticipated outcomes will be of particular importance to people working in financial mathematics, governments (e.g., policymakers), climate scientists, and financial services industry (banks, insurance companies, pension funds). Given Canada's commitment to the Paris Climate Agreement, this research program will be particularly important for building Canada's leadership and trajectory regarding its climate policy.