The Systemic Risk of Climate Change

气候变化是我们现代世界面临的最大、影响最深远的问题之一。对于学者来说，气候融资是一个相对较新的前沿领域。气候融资指的是使世界适应向温室气体减排减少的状态过渡，并缓解气候变化风险的投资。我们从文献中了解到，气候变化的影响，再加上将气候变化控制在《巴黎协定》规定的限度内的目标，对金融市场产生了坚实的影响。如果我们不立即开始行动，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对金融界的影响，以及它们可能导致的系统性风险水平。系统性风险是指整个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年金融危机期间经济崩溃的主要原因。在我对已发表的文献的回顾中，我发现了我希望通过我的研究来填补的空白。我将为当前的文学做出贡献(Hong et al.(2020)在回答主要论文问题时：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，我建议从我在文献中发现的空白中进行三个不同的子研究问题和调查。它们是：1.气候变化效应，如温度和降水的变化如何影响公司的系统性风险？2.气候变化灾害，如干旱和野火，如何影响公司的系统风险？3.海平面上升和洪水是否导致股市波动加剧？为了回答前两个问题，我将采用一种名为Covar的风险建模方法。一种有吸引力的建模技术，因为我们可以准确地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值依赖关系进行建模，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，然后将对淹没时间进行建模。将进行一项分析，模拟公司的价格可能会受到先前模拟的淹没时间的影响。回归分析被用作测试环境，以调查价格波动是否确实是由公司的地理位置和单反风险造成的。我的研究结果将加深对气候变化造成的金融风险的理解。我将提供一个框架，以建立一个数据库，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。该数据库将有助于利用金融市场作为采取积极行动的动力，以减轻气候变化的影响，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.