asset_value_at_risk: Calculate percentage value change between scenarios for...

In 2DegreesInvesting/r2dii.climate.stress.test: Climate Transition Risk Stress Test for Listed Equity, Corporate Bond and Corporate Loan Portfolios

Calculate percentage value change between scenarios for equity (and temporarily other asset types) on the portfolio level

Description

Calculate percentage value change between scenarios for equity (and temporarily other asset types) on the portfolio level

Usage

asset_value_at_risk(
  data,
  shock_scenario = NULL,
  div_netprofit_prop_coef = NULL,
  plan_carsten = NULL,
  port_aum = NULL,
  flat_multiplier = NULL
)

Arguments

data	A dataframe containing the (discounted) annual profits.
shock_scenario	A dataframe containing the specification of the shock scenario at hand
div_netprofit_prop_coef	Numeric. A coefficient that determines how strongly the future dividends propagate to the company value
plan_carsten	A dataframe that contains the share of the portfolio value of each company-ald_business_unit combination. Used to quantify the impact of the company-tech level shock on higher levels of aggregation in the pf
port_aum	A dataframe containing the value of the portfolio for the asset type at hand
flat_multiplier	Numeric. A ratio that determines for the asset type if how strongly the DCF should propagate to value changes.

2DegreesInvesting/r2dii.climate.stress.test documentation built on June 6, 2024, 8:23 a.m.