We develop a model for defaultable bonds incorporating both uncertainty about corporate earnings and uncertainty due to climate-related risks, which determine downward jumps in the firm value. In particular, we study how bond pricing is affected by transition risks, such as those coming from an abrupt change of climate policies. We show how the issuer’s credit quality changes as a result of its engagement in projects funded by green bonds and study the impact of green bonds on investors’ portfolio allocation. The way ‘green’ bonds may contribute to financial stability is also discussed.

中文翻译：

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债券市场中与气候相关的风险定价

我们开发了一种可违约债券模型，该模型同时兼顾了公司收益的不确定性和气候相关风险带来的不确定性，这些不确定性决定了公司价值的下降。特别是，我们研究了债券定价如何受到过渡风险的影响，例如气候政策的突然变化所带来的风险。我们将展示发行人参与绿色债券资助的项目后其信用质量如何变化，并研究绿色债券对投资者投资组合配置的影响。还讨论了“绿色”债券可能有助于金融稳定的方式。