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Transparency principle for carbon emissions drives sustainable finance
Here we go further and propose a Carbon Equivalence Principle: all financial products shall contain a description of the equivalent carbon flows from greenhouse gases that the products enable, as well as their existing description in terms of cash flows.
Stochastic measure distortions induced by quantile processes for risk quantification and valuation
This requires the introduction of a copula function in the composite map for the construction of quantile processes, which presents another new element in the risk quantification and modelling framework based on probability measure distortions induced by quantile processes.
Sustainability Manifesto for Financial Products: Carbon Equivalence Principle
Hence we propose the Carbon Equivalence Principle (CEP) for financial products: that the carbon effect of a financial product shall be included as a linked term sheet compatible with existing bank systems.
Rational Models for Inflation-Linked Derivatives
We construct models for the pricing and risk management of inflation-linked derivatives.
