{"title":"碳定价不确定性下的企业信贷风险建模:奈特不确定性方法","authors":"","doi":"10.1016/j.sftr.2024.100283","DOIUrl":null,"url":null,"abstract":"<div><p>This study examines the financial implications of carbon pricing policies within the Knightian uncertainty framework. Employing a dynamic behavioural credit risk model driven by Lévy jump-diffusion, we scrutinise how carbon pricing uncertainty influences default probability and securities value. We explore investors' strategic responses to ambiguity and assess their impact on their investment decisions. Our findings reveal that carbon pricing uncertainty exacerbates the margin of default risk, has a moderating effect on stock value, and makes investors more cautious, thereby altering corporate capital structures. This study contributes to the discourse on carbon credit risk assessment and sustainable finance by addressing policy-driven uncertainties in the financial markets.</p></div>","PeriodicalId":34478,"journal":{"name":"Sustainable Futures","volume":null,"pages":null},"PeriodicalIF":3.3000,"publicationDate":"2024-08-30","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://www.sciencedirect.com/science/article/pii/S2666188824001321/pdfft?md5=e16691c60c365d0f2c5af84c1c516d1c&pid=1-s2.0-S2666188824001321-main.pdf","citationCount":"0","resultStr":"{\"title\":\"Corporate credit risk modeling under carbon pricing uncertainty: A Knightian uncertainty approach\",\"authors\":\"\",\"doi\":\"10.1016/j.sftr.2024.100283\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"<div><p>This study examines the financial implications of carbon pricing policies within the Knightian uncertainty framework. Employing a dynamic behavioural credit risk model driven by Lévy jump-diffusion, we scrutinise how carbon pricing uncertainty influences default probability and securities value. We explore investors' strategic responses to ambiguity and assess their impact on their investment decisions. Our findings reveal that carbon pricing uncertainty exacerbates the margin of default risk, has a moderating effect on stock value, and makes investors more cautious, thereby altering corporate capital structures. This study contributes to the discourse on carbon credit risk assessment and sustainable finance by addressing policy-driven uncertainties in the financial markets.</p></div>\",\"PeriodicalId\":34478,\"journal\":{\"name\":\"Sustainable Futures\",\"volume\":null,\"pages\":null},\"PeriodicalIF\":3.3000,\"publicationDate\":\"2024-08-30\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"https://www.sciencedirect.com/science/article/pii/S2666188824001321/pdfft?md5=e16691c60c365d0f2c5af84c1c516d1c&pid=1-s2.0-S2666188824001321-main.pdf\",\"citationCount\":\"0\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"Sustainable Futures\",\"FirstCategoryId\":\"1085\",\"ListUrlMain\":\"https://www.sciencedirect.com/science/article/pii/S2666188824001321\",\"RegionNum\":2,\"RegionCategory\":\"社会学\",\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"Q2\",\"JCRName\":\"ENVIRONMENTAL SCIENCES\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"Sustainable Futures","FirstCategoryId":"1085","ListUrlMain":"https://www.sciencedirect.com/science/article/pii/S2666188824001321","RegionNum":2,"RegionCategory":"社会学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q2","JCRName":"ENVIRONMENTAL SCIENCES","Score":null,"Total":0}
Corporate credit risk modeling under carbon pricing uncertainty: A Knightian uncertainty approach
This study examines the financial implications of carbon pricing policies within the Knightian uncertainty framework. Employing a dynamic behavioural credit risk model driven by Lévy jump-diffusion, we scrutinise how carbon pricing uncertainty influences default probability and securities value. We explore investors' strategic responses to ambiguity and assess their impact on their investment decisions. Our findings reveal that carbon pricing uncertainty exacerbates the margin of default risk, has a moderating effect on stock value, and makes investors more cautious, thereby altering corporate capital structures. This study contributes to the discourse on carbon credit risk assessment and sustainable finance by addressing policy-driven uncertainties in the financial markets.
期刊介绍:
Sustainable Futures: is a journal focused on the intersection of sustainability, environment and technology from various disciplines in social sciences, and their larger implications for corporation, government, education institutions, regions and society both at present and in the future. It provides an advanced platform for studies related to sustainability and sustainable development in society, economics, environment, and culture. The scope of the journal is broad and encourages interdisciplinary research, as well as welcoming theoretical and practical research from all methodological approaches.