CARBON DELTA’s research is used to understand company-level risks brought about by the impacts of future climate change.

We calculate the economic effects of climate change on the underlying business model of thousands of companies by developing a detailed analysis on emission reduction requirements defined in forthcoming regulations, technology opportunities and changing physical climate conditions onto company activities.

Climate Value-at-Risk

Climate Value-at-Risk

All climate risk factors are expressed as quantified costs or revenues for each climate change scenario. The effect on a company’s related securities are then computed using standard financial valuation models. The relative change in asset price presents a worst case drawdown under the given scenario and is called Climate Value-at-Risk. It presents the maximum simulated drawdown of the underlying security. Future costs are modelled 15 years into the future.

Data

The models we have developed integrate a wide spectrum of data, including:

  • financial data like sales figures and security prices,
  • macroeconomic statistics,
  • future greenhouse gas (GHG) price estimates,
  • a comprehensive company production location database,
  • scientific climate data and
  • internet research data.

CARBON DELTA uses a large set of over 50 different data sources. This includes publicly available as well as proprietary data. We utilize data from some of the most reputable climate and economic research institutes in the world. When possible, CARBON DELTA uses third-party verified, high-quality datasets.

Asset Classes

  • 22,000 companies
  • 60,000 securities
  • Equities and corporate bonds
  • Aggregation across sectors, countries, currencies or whole portfolio

Model Scenarios

We analyze several scenarios per company, providing a comprehensive overview of exposure to climate change risks and opportunities.

Regulatory Scenarios

Cost of the full implementation of voluntarily-declared low carbon development plans within the Paris Agreement, called the Nationally Determined Contributions (“NDCs”).

Technology Opportunities

To identify company-specific, climate change related investment opportunities, we assembled a patent database with details outlining the low carbon technologies that firms have been developing, which is used to forecast future green revenues.

Extreme Weather

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

Transparency and Verification

  1. Model Documentation

    We make our full model documentation available to our clients. Each computation step can then be traced and verified.

  2. Quality Assurance

    We employ a structured and rigorous quality assurance process.

  3. Backtesting

    Together with academic and corporate partners we currently engage in backtesting our methodologies and investigate the past performance of our “signal” when used as an investment decision tool.

Get more detailed Information

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