Today, give a try to Techtonique web app, a tool designed to help you make informed, data-driven decisions using Mathematics, Statistics, Machine Learning, and Data Visualization. Here is a tutorial with audio, video, code, and slides: https://moudiki2.gumroad.com/l/nrhgb
My poster presentation for “Online probabilistic estimation of carbon beta and carbon Shapley values for financial and climate risk” at the 18th FINANCIAL RISKS INTERNATIONAL FORUM (organized by Institut Louis Bachelier/Fondation du Risque/Europlace Institute of Finance). This year’s focus Shaping Financial Research: Data, AI and New Challenges.
This study explores climate-related financial risks and introduces innovative methods for estimating carbon beta and carbon Shapley values. Carbon beta quantifies how stock returns react to a portfolio called Brown Minus Green (BMG), which takes a long position in less climate-friendly (brown) stocks and a short position in climate-friendly (green) stocks. Shapley values, derived from game theory, provide an additive framework to interpret how input factors influence a supervised model’s output. The study presents novel approaches for time-varying estimation of carbon beta and carbon Shapley values. These methods are forward-looking, nonparametric, nonlinear, and adaptive. Unlike traditional approaches, they do not assume a fixed “true” value for carbon beta based on a linear relationship between individual stock returns and global market returns, and they leverage conformal prediction to quantify uncertainty in the estimates of carbon beta and carbon Shapley values:
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