A0469
Title: Forecasting climate risk by extreme sea level rises and its impact on financial markets
Authors: Lidia Sanchis-Marco - University of Castilla-La Mancha (Spain) [presenting]
Laura Garcia-Jorcano - Universidad de Castilla-La Mancha (Spain)
Abstract: The demand for accurate predictions of sea-level rise in several affected sectors is increasing, but there is no standard method to measure it. Using the global and regional mean sea-level rise (mm) every 10 days (Dic/1992-Oct/2020), we propose two new measures, Extreme Sea-Level Value at Rise (ExSLVaR) and Extreme Sea-Level Expected Rise (ExSLER), to forecast extreme mean sea-level at several periods calculated for eight seas/oceans of the Earth. The method used is Extreme Value Theory and the Filtered Historical Simulation approach. Furthermore, we analyze the connection between our measures and financial risk in different sectors. The main evidence shows different regional and global forecasts, and both measures capture more risk in the energy and oil-gas sectors, especially in the current COVID-19 period. The extreme sea-level rise measures are relevant for regulators and investors for mitigation and adaptation strategies that reduce future physical costs of climate change.
