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Climate change valuation adjustment using parameterised climate change impacts

Kenyon, C; Berrahoui, M; (2021) Climate change valuation adjustment using parameterised climate change impacts. Risk pp. 1-6. Green open access

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Abstract

Chris Kenyon and Mourad Berrahoui introduce the climate change valuation adjustment to capture the climate change effects on CVA and FVA that are currently invisible in typical market practice.

Type: Article
Title: Climate change valuation adjustment using parameterised climate change impacts
Open access status: An open access version is available from UCL Discovery
Publisher version: https://www.risk.net/cutting-edge/banking/7859816/...
Language: English
Additional information: This is the published version of record. For information on re-use, please refer to the publisher’s terms and conditions.
UCL classification: UCL
UCL > Provost and Vice Provost Offices > UCL BEAMS
UCL > Provost and Vice Provost Offices > UCL BEAMS > Faculty of Maths and Physical Sciences
UCL > Provost and Vice Provost Offices > UCL BEAMS > Faculty of Maths and Physical Sciences > Dept of Mathematics
URI: https://discovery-pp.ucl.ac.uk/id/eprint/10138788
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