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。英格兰银行行长马克·卡尼在最近对伦敦的劳埃德发表的讲话中说： 科学证据的分量和金融体系的动态相结合表明，随着时间的推移，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，但机会之窗已经有限并正在关闭。 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。 该方案的一些核心目标包括以下内容。首先，金融机构通过为减排和适应项目提供资金，通过将投资重新分配到可再生能源和清洁技术，以及通过与气候变化有关的财务披露继续鼓励透明度，在指导更广泛的经济向低碳未来过渡方面发挥着不可或缺的作用。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？该研究计划的核心目标之一是使用具有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气候变暖的能力的预测存在很大的不确定性。此外，这种不确定性超出了传统的概率不确定性，因为有些结果甚至无法预测。这项研究将制定框架和具体方法，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提高我们在投资组合中纳入绿色投资时的战略资产配置知识。 由于该计划是跨学科的性质，代表了气候科学与经济学和金融数学建模的一个具有挑战性的交叉点，其预期成果将对从事金融数学工作的人特别重要，政府（例如，政策制定者）、气候科学家和金融服务业（银行、保险公司、养老基金）。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.