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

IF 3.3 2区 社会学 Q2 ENVIRONMENTAL SCIENCES
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引用次数: 0

摘要

本研究在奈特不确定性框架内探讨了碳定价政策的财务影响。我们采用由勒维跳跃扩散驱动的动态行为信用风险模型,仔细研究了碳定价的不确定性如何影响违约概率和证券价值。我们探讨了投资者对不确定性的策略反应,并评估了这些反应对投资者投资决策的影响。我们的研究结果表明,碳定价的不确定性加剧了违约风险的幅度,对股票价值产生了调节作用,并使投资者更加谨慎,从而改变了企业的资本结构。本研究通过探讨金融市场中政策驱动的不确定性,为碳信用风险评估和可持续金融的讨论做出了贡献。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
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.

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来源期刊
Sustainable Futures
Sustainable Futures Social Sciences-Sociology and Political Science
CiteScore
9.30
自引率
1.80%
发文量
34
审稿时长
71 days
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.
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