Stochastic framework for carbon price risk estimation of real estate: a Markov switching GARCH simulation approach

IF 1.6 Q3 BUSINESS, FINANCE Journal of Property Investment & Finance Pub Date : 2022-02-14 DOI:10.1108/jpif-12-2021-0104
Cay Oertel, E. Kovaleva, Werner Gleißner, S. Bienert
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引用次数: 2

Abstract

PurposeThe risk management of transitory risk for real assets has gained large interest especially in the past 10 years among researchers as well as market participants. In addition, the recent regulatory tightening in the EU urges financial market participants to disclose sustainability-related financial risk, without providing any methodological guidance. The purpose of the study is the identification and explanation of the methodological limitations in the field of transitory risk modeling and the logic step to advance toward a stochastic approach.Design/methodology/approachThe study reviews the literature on deterministic risk modeling of transitory risk exposure for real estate highlighting the heavy methodological limitations. Based on this, the necessity to model transitory risk stochastically is described. In order to illustrate the stochastic risk modeling of transitory risk, the empirical study uses a Markov Switching Generalized Autoregressive Conditional Heteroskedasticity model to quantify the carbon price risk exposure of real assets.FindingsThe authors find academic as well as regulatory urgency to model sustainability risk stochastically from a conceptual point of view. The own empirical results show the superior goodness of fit of the multiregime Markov Switching Generalized Autoregressive Conditional Heteroskedasticity in comparison to their single regime peer. Lastly, carbon price risk simulations show the increasing exposure across time.Practical implicationsThe practical implication is the motivation of the stochastic modeling of sustainability-related risk factors for real assets to improve the quality of applied risk management for institutional investment managers.Originality/valueThe present study extends the existing literature on sustainability risk for real estate essentially by connecting the transitory risk management of real estate and stochastic risk modeling.
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房地产碳价格风险估计的随机框架:一种马尔可夫切换GARCH模拟方法
在过去的10年里,研究人员和市场参与者对实物资产的临时风险管理产生了很大的兴趣。此外,欧盟最近的监管收紧敦促金融市场参与者披露与可持续性相关的金融风险,但没有提供任何方法指导。该研究的目的是识别和解释暂态风险建模领域的方法局限性,以及向随机方法推进的逻辑步骤。设计/方法/途径本研究回顾了关于房地产短期风险暴露的确定性风险建模的文献,强调了方法上的严重局限性。在此基础上,阐述了建立暂态风险随机模型的必要性。为了说明临时风险的随机风险建模,实证研究采用马尔可夫切换广义自回归条件异方差模型对实物资产的碳价格风险暴露进行量化。研究结果作者发现,从概念角度随机建立可持续性风险模型的学术和监管紧迫性。实证结果表明,多区间马尔可夫切换广义自回归条件异方差的拟合优度优于单区间马尔可夫切换广义自回归条件异方差。最后,碳价格风险模拟显示,随着时间的推移,风险敞口不断增加。实际意义实际意义是实体资产可持续性相关风险因素随机建模的动机,以提高机构投资经理应用风险管理的质量。独创性/价值本研究主要通过将房地产的暂时性风险管理与随机风险建模联系起来,扩展了现有的房地产可持续性风险研究文献。
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来源期刊
CiteScore
3.50
自引率
23.10%
发文量
33
期刊介绍: Fully refereed papers on practice and methodology in the UK, continental Western Europe, emerging markets of Eastern Europe, China, Australasia, Africa and the USA, in the following areas: ■Academic papers on the latest research, thinking and developments ■Law reports assessing new legislation ■Market data for a comprehensive review of current research ■Practice papers - a forum for the exchange of ideas and experiences
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