Head of Research: Bank of England
The GEOVOL and CRISK concepts are very relevant for thinking about climate policies. Some of the results are a bit counterintuitive in that flash crash of August 2015 has a bigger impact on GEOVol than global financial crisis. Climate-related policy events, or weather-related events do not rank high in the top GEOvolatility events.
The GEOVOL and CRISK concepts are very relevant for thinking about climate policies. Some of the results are a bit counterintuitive in that flash crash of August 2015 has a bigger impact on GEOVol than global financial crisis. Climate-related policy events, or weather-related events do not rank high in the top GEOvolatility events.
7 mins 14 secs
GEOVOL is a measure that captures the common variation in the innovation of volatility of assets. It has been monitored and measured by using the daily closing prices of up to 47 country ETFs.
CRISK is the expected capital shortfalls under climate stress risk. It is computed by calculating climate betas for large global banks, this is meant to capture the sensitivity of the equity prices of the existence of the excess returns of stranded asset portfolios.
Key learning objectives:
Understand the concept of GEOVOL
Understand the concept of CRISK
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