Project sheet
CALL: PRIN: RESEARCH PROJECTS OF RELEVANT NATIONAL INTEREST - Call for proposals 2022
TITLE: The effects of climate change in the evaluation of financial instruments
DURATION: 24 months from 09/28/2023 to 09/27/2025
RESPONSIBLE: Prof. Allaj Erindi (Unit Head)
European Research Council (ERC) SECTOR:SH 1 - "Individuals, Markets and Organisations"
Sustainable Development Goals (SDGs): Goal 13: Combating Climate Change
Brief description
Climate change is not only a threat to the environment, but also to the economic system. The need to direct financial investment toward green projects has become an important issue for governments and private investors. Green bonds provide financial support for the development of low-carbon investments and promote the green transition process. The design of green bonds is critical to the expansion of green financial markets.
This research project has the following objectives:
- Identify the main factors influencing the calculated returns using green bonds with different types of issuers and different durations;
- Investigate the time dependence structure of the main risk factors;
- Include the valuation of green bonds in a portfolio allocation problem;
- Propose a "self-exciting" diffusion model for yield dynamics;
- Evaluate the impact of bond pricing with the model proposed in Step 4;
- Suggest policies that increase the resilience of the financial system to climate risks and market restrictions.
The expected results will be of interest to academics, financial and non-financial institutions, governments, and policy makers.
