ABSTRACT

The effects of climate change carry substantial financial consequences. Despite this, physical climate risk has only sparsely been covered in previous research, particularly in the setting of investing. Investors' tools for managing physical risk are in general rudimentary and many rely on sustainability labels. This study compares physical climate risk exposure of three groups of equity funds labelled as sustainable with the general market. Physical climate risk was evaluated by quantitative modelling, incorporating first level of upstream supply chain. The results show a lower physical risk for all three groups of sustainable funds in a five- and ten-year horizon. It cannot be concluded whether the lower risk is a result of consideration in sustainability labelling, or if lower physical risk is correlated with other sustainability qualities. Further research on physical climate risk for investors is needed, not least from a quantitative perspective and on risks related to supply chain.

摘要

气候变化的影响会带来重大的财务后果。尽管如此，之前的研究仅很少涉及物理气候风险，特别是在投资环境中。投资者管理实体风险的工具总体上还很初级，许多都依赖于可持续性标签。本研究将三组被标记为可持续的股票基金与一般市场的实际气候风险敞口进行了比较。通过定量模型评估物理气候风险，纳入上游供应链的第一级。结果显示，所有三组可持续基金在五年和十年内的实际风险均较低。无法得出较低风险是否是可持续性标签考虑的结果，或者较低的物理风险是否与其他可持续性质量相关。