Votre recherche

Abstract This study presents a firm‐specific methodology for extracting implied default intensities and recovery rates jointly from unit recovery claim prices—backed by out‐of‐the‐money put options—and credit default swap premiums, therefore providing time‐varying and market‐consistent views of credit risk at the individual level. We apply the procedure to about 400 firms spanning different sectors of the US economy between 2003 and 2019. The main determinants of default intensities and recovery rates are analyzed with statistical and machine learning methods linking default risk and credit losses to market, sector, and individual variables. Consistent with the literature, we find that individual volatility, leverage, and corporate bond market determinants are key factors explaining the implied default intensities and recovery rates. Then, we apply the framework in the context of credit risk management in applications, like, market‐consistent credit value‐at‐risk calculation and stress testing.

Abstract We investigate the behaviour of the maximum likelihood estimator (MLE) for stochastic volatility jump-diffusion models commonly used in financial risk management. A simulation study shows the practical conditions under which the MLE behaves according to theory. In an extensive empirical study based on nine indices and more than 6000 individual stocks, we nonetheless find that the MLE is unable to replicate key higher moments. We then introduce a moment-targeted MLE – robust to model misspecification – and revisit both simulation and empirical studies. We find it performs better than the MLE, improving the management of financial risk.

Abstract. Large-scale socioeconomic studies of the impacts of floods are difficult and costly for countries such as Canada and the United States due to the large number of rivers and size of watersheds. Such studies are however very important for analyzing spatial patterns and temporal trends to inform large-scale flood risk management decisions and policies. In this paper, we present different flood occurrence and impact models based upon statistical and machine learning methods of over 31 000 watersheds spread across Canada and the US. The models can be quickly calibrated and thereby easily run predictions over thousands of scenarios in a matter of minutes. As applications of the models, we present the geographical distribution of the modelled average annual number of people displaced due to flooding in Canada and the US, as well as various scenario analyses. We find for example that an increase of 10 % in average precipitation yields an increase in the displaced population of 18 % in Canada and 14 % in the US. The model can therefore be used by a broad range of end users ranging from climate scientists to economists who seek to translate climate and socioeconomic scenarios into flood probabilities and impacts measured in terms of the displaced population.

Abstract There is mounting pressure on (re)insurers to quantify the impacts of climate change, notably on the frequency and severity of claims due to weather events such as flooding. This is however a very challenging task for (re)insurers as it requires modeling at the scale of a portfolio and at a high enough spatial resolution to incorporate local climate change effects. In this paper, we introduce a data science approach to climate change risk assessment of pluvial flooding for insurance portfolios over Canada and the United States (US). The underlying flood occurrence model quantifies the financial impacts of short-term (12–48 h) precipitation dynamics over the present (2010–2030) and future climate (2040–2060) by leveraging statistical/machine learning and regional climate models. The flood occurrence model is designed for applications that do not require street-level precision as is often the case for scenario and trend analyses. It is applied at the full scale of Canada and the US over 10–25 km grids. Our analyses show that climate change and urbanization will typically increase losses over Canada and the US, while impacts are strongly heterogeneous from one state or province to another, or even within a territory. Portfolio applications highlight the importance for a (re)insurer to differentiate between future changes in hazard and exposure, as the latter may magnify or attenuate the impacts of climate change on losses.

Abstract A global tropical cyclone precipitation dataset covering the period from January 1979 to February 2023 is presented. Global precipitation estimates were taken from the newly developed high-resolution Multi-Source Weighted-Ensemble Precipitation, version 2 (MSWEP V2) and TC tracks were obtained from the International Best Track Archive for Climate Stewardship (IBTrACS) dataset. This Global Multi-Source Tropical Cyclone Precipitation (MSTCP) dataset is comprised of two main products and files in the format of tables: the main and profile datasets. The main file provides various TCP statistics per TC track, including mean and maximum precipitation rates over a fixed and symmetrical radius of 500 km. The profile dataset comprises the azimuthally averaged precipitation every 10-km away from the center of each storm (until 500 km). The case study of Hurricane Harvey is used to show that MSWEP estimates agree well with another commonly used satellite product. The main statistics of the dataset are analyzed as well, including the differences in the dataset metrics for each of the six TC basins and for each Saffir-Simpson category for storm intensity.

Abstract Tropical cyclones (TCs) are among the most destructive natural hazards and yet, quantifying their financial impacts remains a significant methodological challenge. It is therefore of high societal value to synthetically simulate TC tracks and winds to assess potential impacts along with their probability distributions for example, land use planning and financial risk management. A common approach to generate TC tracks is to apply storm detection methodologies to climate model output, but such an approach is sensitive to the method and parameterization used and tends to underestimate intense TCs. We present a global TC model (the UQAM‐TCW model thereafter) that melds statistical modeling, to capture historical risk features, with a climate model large ensemble, to generate large samples of physically coherent TC seasons. Integrating statistical and physical methods, the model is probabilistic and consistent with the physics of how TCs develop. The model includes frequency and location of cyclogenesis, full trajectories with maximum sustained winds and the entire wind structure along each track for the six typical cyclogenesis basins from IBTrACS. Being an important driver of TCs globally, we also integrate ENSO effects in key components of the model. The global TC model thus belongs to a recent strand of literature that combines probabilistic and physical approaches to TC track generation. As an application of the model, we show global hazard maps for direct and indirect hits expressed in terms of return periods. The global TC model can be of interest to climate and environmental scientists, economists and financial risk managers. , Plain Language Summary Tropical cyclones (TCs) are among the most destructive natural hazards and yet, quantifying their financial impacts remains a difficult task. Being able to randomly simulate TCs and their features (such as wind speed) with mathematical models is therefore critical to build scenarios (and their corresponding probability) for land use planning and financial risk management. A common approach is to simulate TCs by tracking them directly in climate model outputs but this often underestimates the frequency of intense TCs while being computationally costly overall to generate a large number of events. For these reasons, many authors have looked into alternative approaches that replicate key physical features of TCs but rather using statistical models that are much less computationally demanding. This paper therefore presents a global TC model that leverages the strengths of both statistical and climate models to simulate a large number of TCs whose features are consistent with the physics and observations. As an important global phenomenon that affects TCs globally, we also integrate in our model the effects of El Niño. The paper focuses on the methodology and validation of each model component and concludes with global hazard maps for direct and indirect hits. , Key Points We present a global tropical cyclone (TC) wind model built upon a climate model large ensemble that can be used for risk analysis We integrate ENSO into our model since it is a strong driver of storm annual frequency, cyclogenesis, trajectories, and intensity We present global hazard maps consistent with statistical features of TC components and coherent with a global climate model