时 间：2023年7月18日（周二）14：00
地 点：线上，腾讯会议：753-723-017
题 目：气候风险和信用风险评估 ( Climate risk and credit risk assessment )
报告人：Ying Jiao 法国里昂一大教授
主持人：钱林义 教授
主 办：经管学部、SunGame官网中国经济研究中心
摘 要：
We consider the impact of climate transition risk on a firm that aims towards the low-carbon production. We highlight two main aspects: the optimization of emission levels and the impact on the firm's credit risk.
On the one hand, the firm searches to optimize its emission level under the double objectives of maximizing its production profit and respecting the emission mitigation scenarios. We solve an optimization problem with penalties to determine the optimal emission level based on a given Shared Socioeconomic Pathway (SSP) benchmark. On the other hand, the transition towards low-carbon production can influence the firm's credit risk. We model the default time by using the structural default approach. This approach assesses the probability of default based on various factors, including the strategies adopted by the firm in response to SSP scenarios.
Finally we discuss possible extension of the model to a large portfolio of climate concerned firms and propose numerical methods to compute the cumulative losses. This is a joint work with Florian Bourgey and Emmanuel Gobet.
报告人简介：
焦莹，法国里昂一大教授。2000年于北京大学获得学士学位， 2006年于巴黎综合理工学院获得博士学位。之后在巴黎七大、北京大学等校任职，从2013年起任法国里昂一大教授。研究方向主要包括随机过程理论及其在金融数学与风险模型中的应用。研究成果发表在《Mathematical Finance》、《Stochastic Processes and their Applications》、《Finance and Stochastics》等国际重要刊物上。