【论文速递】Bridging socioeconomic pathways of CO2 emission and credit risk

【论文原文】：Bridging socioeconomic pathways of CO2 emission and credit risk

【作者信息】：Florian Bourgey, Emmanuel Gobet, Ying Jiao. Bridging socioeconomic pathways of CO2 emission and credit risk. 2021. hal-03458299

获取地址：Bridging socioeconomic pathways of CO2 emission and credit risk - Archive ouverte HAL

博主关键词： SSP、碳排放、信用风险

摘要：

This paper investigates the impact of transition risk on a firm’s low-carbon production. As the world is facing global climate changes, the Intergovernmental Panel on Climate Change (IPCC) has set the idealized carbon-neutral scenario around 2050. In the meantime, many carbon reduction scenarios, known as Shared Socioeconomic Pathways (SSPs) have been proposed in the literature for different production sectors in more comprehensive socio-economic context. In this paper, we consider, on the one hand, a firm that aims to optimize its emission level under the double objectives of maximizing its production profit and respecting the emission mitigation scenarios. Solving the penalized optimization problem provides the optimal emission according to a given SSP benchmark. On the other hand, such transitions affect the firm’s credit risk. We model the default time by using the structural default approach. We are particularly concerned with how the adopted strategies by following different SSPs scenarios may influence the firm’s default probability.

关键词 -Climate risk, transition risk, credit risk, Shared Socioeconomic Pathways, carbon
emission reduction, optimal production profit, structural credit model.

简介：

本文研究了转型风险对企业低碳生产的影响。由于世界正面临着全球气候变化，政府间气候变化专门委员会（IPCC）将理想化的碳中性情景设定为2050年左右。同时，在更全面的社会经济背景下，文献中为不同的生产部门提出了许多碳减排方案，称为共享社会经济路径（SSPs）。在本文中，我们一方面考虑到一个公司在生产利润最大化和尊重减排方案的双重目标下，旨在优化其排放水平。根据给定的SSP基准，解决惩罚性的优化问题提供了最佳的排放。另一方面，这种过渡会影响公司的信用风险。我们通过使用结构性违约方法对违约时间进行建模。我们特别关注的是，在不同的SSP方案下，所采取的策略如何影响公司的违约概率。