<北京大学数量经济与数理金融教育部重点实验室>学术报告——Socioeconomic pathways of carbon emission and credit risk
报告人：Ying Jiao (Université Claude Bernard Lyon 1)
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. We aim to investigates the impact of transition risk on a firm’s low-carbon production. On the one hand, we consider a firm that searches 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 and are particularly concerned with how the adopted strategies following different SSPs scenarios may influence the firm’s default probability. 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.
焦莹 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。她的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。
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