Publications
Type of Publication: Article in Collected Edition
Climate Risk in Structural Credit Models
- Author(s):
- Blasberg, A.; Kiesel, R.
- Edition:
- 2nd.###IF_EDITIONSUFFIX###, ###VALUE_EDITIONSUFFIX######IF_EDITIONSUFFIX### Edition
- Editor:
- Benth, F. E.; Veraart, A. E. D.
- Title of Anthology:
- Quantitative Energy Finance: Recent Trends and Developments
- pages:
- 247-267
- Publisher:
- Springer
- Publication Date:
- 2023
- ISBN:
- 978-3-031-50597-3
- Digital Object Identifier (DOI):
- doi:10.1007/978-3-031-50597-3_7
- Link to complete version:
- https://link.springer.com/chapter/10.1007/978-3-031-50597-3_7
Abstract
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.