no code implementations • 15 Feb 2022 • Chris Kenyon, Mourad Berrahoui, Andrea Macrina
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.
no code implementations • 10 Dec 2021 • Holly Brannelly, Andrea Macrina, Gareth W. Peters
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.
no code implementations • 8 Dec 2021 • Chris Kenyon, Mourad Berrahoui, Andrea Macrina
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.
no code implementations • 26 Jan 2018 • Henrik Dam, Andrea Macrina, David Skovmand, David Sloth
We construct models for the pricing and risk management of inflation-linked derivatives.