scholarly journals Stranded human and produced capital in a net-zero transition

2021 ◽  
Author(s):  
Jean-Francois Mercure ◽  
Daniel Chester ◽  
Cormac Lynch ◽  
Stephen Jarvis ◽  
Andrew Jarvis
Keyword(s):  
At Risk ◽  
Value At Risk ◽  
Educational Systems ◽  
Policy Debate ◽  
Financial Loss ◽  
Climate Targets ◽  
Net Zero ◽  
Produced Capital ◽  
Capital At Risk ◽  
Capital Value

Abstract The pace of the net-zero transition required to meet the Paris Agreement objectives puts the value of existing carbon-dependent capital at risk of premature depreciation.1–3 A policy debate has emerged over whether such substantial financial loss affects market valuation and stability.4–6 Here, we quantify the current value of existing global human and produced capital, sector by sector, and compare the rate at which it naturally depreciates with that at which it would be required to depreciate to achieve climate targets. Comparison allows us to determine the human and produced capital value at risk across the economy by sector. We find that stopping the production of carbon intensive capital and the training of carbon intensive occupations in 2020 allows a better than 50 percent chance to achieve a 2°C target. However, achieving net-zero in 2050 implies capital value at risk approaching 50 T$, three quarters of which is human capital. We conclude that intervention in both the financial and educational systems may be warranted in order to reduce these risks, where training a workforce for occupations that may soon cease to exist could be avoided.

Firm, industry and economic determinants of working capital at risk

2016 ◽  
Vol 03 (04) ◽  
pp. 1650031 ◽  
Author(s):  
Tarek Ibrahim Eldomiaty ◽  
Mohamed Hashem Rashwan ◽  
Mohamed Bahaa El Din ◽  
Waleed Tayel
Keyword(s):  
At Risk ◽  
Value At Risk ◽  
Stock Exchange ◽  
Statistical Tests ◽  
Working Capital ◽  
Short Term ◽  
Firm Level ◽  
Cash Conversion Cycle ◽  
Wide Range ◽  
Capital At Risk

Purpose: The objective of this study is to examine the relative contribution of firm-level, industry-level and country level variables to working capital at risk. Working capital at risk is treated as the value at risk for a portfolio of firm’s current assets. As far as short-term liquidity is concerned, working capital at risk, being the maximum amount that a firm may lose at a certain confidence interval, must be the most important part that a firm’s management must focus on. Design/methodology/approach: This study empirically examines the possible associations between wide range of variables and working capital at risk. The sample firms include 143 non-financial firms listed in Egypt stock exchange. The data cover the years 2000–2014. The statistical tests include the fixed and random effects, testing for linearity versus nonlinearity. The least squares dummy variables and discriminant analysis are utilized. The working capital at risk is classified into three levels: low, medium and high. Findings: The general findings of the study show that cash conversion cycle and the leverage are the most significant determinants of working capital at risk. Both determinants have significant influence on the level of volatility of working capital throughout the three categories of working capital at risk. Originality/value: This study offers a new approach that deals with working capital as a portfolio, rather than single ratios, that firm’s management must decrease its volatility (value at risk), therefore, short-term liquidity can be improved significantly. This approach can be considered a financial engineering in terms of monitoring and managing short-term liquidity exposure.

scholarly journals Sustainable Risk Management in the Banking Sector

2014 ◽  
Vol 3 (1) ◽  
pp. 81-100 ◽  
Author(s):  
Ivo Županović
Keyword(s):  
At Risk ◽  
Risk Management ◽  
Financial Markets ◽  
Financial Institutions ◽  
Value At Risk ◽  
Banking Sector ◽  
Negative Consequences ◽  
Operational Risks ◽  
Management Measures ◽  
Capital At Risk

Abstract The globalization of financial markets and negative consequences of the financial crisis resulted in negative connotations in the operation of many financial institutions, businesses and citizens and imposed the need to implement appropriate risk management measures in the banking sector. Evolution of the financial sector makes a lot of news in the field of risk management and particularly the modelling of market, credit and operational risk. The main methodology for risk management is the value-at-risk, which is used in practice with other techniques such as the capital- at-risk method in order to minimize business risks and achieve optimal results in the banking and, generally, financial operations. Accordingly, at all levels of governance in the banking sector, there are prudential policies in place governing the management of all types of financial and operational risks. Based on the abovementioned, the focus of the examination was on the above postulate, and prompt recognition, control and proper management of banking risks.

scholarly journals MENAKSIR VALUE AT RISK (VAR) PORTOFOLIO PADA INDEKS SAHAM DENGAN METODE PENDUGA VOLATILITAS GARCH

2013 ◽  
Vol 2 (1) ◽  
pp. 14
Author(s):  
INTAN AWYA WAHARIKA ◽  
KOMANG DHARMAWAN ◽  
NI MADE ASIH
Keyword(s):  
At Risk ◽  
Risk Management ◽  
Value At Risk ◽  
Stock Exchange ◽  
Stock Index ◽  
Financial Loss

Value at Risk (VaR) is a concept which was used to measure a risk on risk management. VaR explained the worst amount of financial loss in a financial product with the horizon and certain degree of believe. In the calculation of VaR, it was needed a prediction in volality, volality from a series of time which can be homokedasticity (constant) or heterokedasticity (ever changed). Changed volality can be found on the stock and stock index. One of the method which was done in modeling of changed volality was GARCH. In this research, GARCH was used to estimate VaR’s Value from IHSG and LQ45 to be sold in Jakarta Stock Exchange on 4 January to 23 August 2012 (650 observations) VaR can be calculated with a periode of horizon, 1 day, 10 days, and 22 days with the degree of believe 95%

DYNAMIC PORTFOLIO SELECTION UNDER CAPITAL-AT-RISK WITH NO SHORT-SELLING CONSTRAINTS

2011 ◽  
Vol 14 (06) ◽  
pp. 957-977 ◽  
Author(s):  
GORDANA DMITRAŠINOVIĆ-VIDOVIĆ ◽  
ALI LARI-LAVASSANI ◽  
XUN LI ◽  
ANTONY WARE
Keyword(s):  
At Risk ◽  
Portfolio Optimization ◽  
Value At Risk ◽  
Optimal Strategies ◽  
Short Selling ◽  
Investment Strategies ◽  
Black Scholes ◽  
Dynamic Portfolio ◽  
Analytical Formulae ◽  
Capital At Risk

Portfolio optimization under downside risk is of crucial importance to asset managers. In this article we consider one such particular measure given by the notion of Capital at Risk (CaR), closely related to Value at Risk. We consider portfolio optimization with respect to CaR in the Black-Scholes setting with time dependent parameters and investment strategies, i.e., continuous-time portfolio optimization. We review the results from our previous work in unconstrained portfolio optimization, and then investigate and solve the corresponding problems with the additional constraint of no-short-selling. Analytical formulae are derived for the optimal strategies, and numerical examples are presented.

scholarly journals Estimation of the Value at Risk Using the Stochastic Approach of Taylor Formula

2020 ◽  
Vol 2020 ◽  
pp. 1-7
Author(s):  
Vini Yves Bernadin Loyara ◽  
Remi Guillaume Bagré ◽  
Diakarya Barro
Keyword(s):  
At Risk ◽  
Value At Risk ◽  
Stochastic Approach ◽  
Taylor Formula ◽  
Profit Function ◽  
Time Varying ◽  
Financial Loss ◽  
Higher Dimensional ◽  
Conditional Copula ◽  
Multivariate Copula

The aim of this paper is to provide an approximation of the value-at-risk of the multivariate copula associated with financial loss and profit function. A higher dimensional extension of the Taylor–Young formula is used for this estimation in a Euclidean space. Moreover, a time-varying and conditional copula is used for the modeling of the VaR.

Optimal expected utility risk measures

2018 ◽  
Vol 35 (1-2) ◽  
pp. 73-87 ◽  
Author(s):  
Sebastian Geissel ◽  
Jörn Sass ◽  
Frank Thomas Seifried
Keyword(s):  
At Risk ◽  
Expected Utility ◽  
Value At Risk ◽  
Risk Measures ◽  
Risk Measure ◽  
Point Of View ◽  
Financial Loss ◽  
Certainty Equivalents ◽  
Average Value ◽  
Average Value At Risk

AbstractThis paper introduces optimal expected utility (OEU) risk measures, investigates their main properties and puts them in perspective to alternative risk measures and notions of certainty equivalents. By taking the investor’s point of view, OEU maximizes the sum of capital available today and the certainty equivalent of capital in the future. To the best of our knowledge, OEU is the only existing utility-based risk measure that is (non-trivial and) coherent if the utility functionuhas constant relative risk aversion. We present several different risk measures that can be derived with special choices ofuand illustrate that OEU is more sensitive than value at risk and average value at risk with respect to changes of the probability of a financial loss.

Extremwerttheorie und Value-at-Risk

2015 ◽  
Vol 44 (5) ◽  
pp. 259-267
Author(s):  
Frank Schuhmacher ◽  
Benjamin R. Auer
Keyword(s):  
At Risk ◽  
Value At Risk

Value at Risk

Controlling ◽  
2004 ◽  
Vol 16 (7) ◽  
pp. 425-426
Author(s):  
Mischa Seiter ◽  
Sven Eckert
Keyword(s):  
At Risk ◽  
Value At Risk
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