Climate Value-at-Risk (VaR)

Climate VaR is an assessment method to quantify climate change risks in a framework that is applicable across investment portfolios.

This risk measurement helps investors to comprehensively assess future costs related to climate change and understand what those future costs could mean towards the current valuation of securities. The premise of Climate VaR is to aggregate costs related to specific climate risks over the next 15 years and calculate what these costs might signify about financial performance into the foreseeable future.

Carbon Delta's Modeling Philosophy

Global coverage

  • 20,000 companies and 60,000 securities, all business sectors
  • Equities and corporate bonds
  • Aggregation across many asset classes

Protect your returns

  • Climate VaR calculates potential impact on investment returns
  • Use of present value calculations to expose impact on asset classes
  • Climate VaR is security-level analysis

Sound methodology

  • Objective and quantitative modeling only
  • 3rd party verified datasets
  • Fully transparent calculations

Projections into the future

  • All scenarios are 15 year scenario projections
  • Modeling of numerous scenarios possible

CARBON DELTA analyzes 3 scenarios, providing a comprehensive overview of a company’s Exposure to climate change risks

Expected Regulations

The risk and related costs for companies to comply with proposed climate change regulations in 191 different countries are calculated within this risk scenario.

2ºC Test

The risk and related costs for companies to comply with emissions limitations if the international goal of preventing no more than 2°C of warming is implemented, which was established under the Paris Agreement.

Extreme Weather

The risk and related costs of extreme weather events for a company, relating to heat, cold, wind and precipitation.

Data Sources

CARBON DELTA uses the best available data on climate change risks. We have longstanding relationships with world-renowned climate change research institutes, academics, non-profit organizations and numerous multinational companies. 

Our in-house knowledge and relationships help us to identify and attain only the highest quality data and information sources. Our computer models use a combination of publicly available and proprietary data, and we are pleased to offer all details on our data sources as well as answer any questions you might have on our sources with a confidential agreement in place.  

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Further Information