Weighted_Average_Carbon_Intensity: Weighted Average Carbon Intensity

In Trading: CCR, Advanced Correlation & Beta Estimates, Betting Strategies

Weighted Average Carbon Intensity

Description

Returns the portfolio's exposure to each issuer expressed in tons CO2e / $M revenue. Scope 1 and Scope 2 GHG emissions are allocated based on portfolio weights (the current value of the investment relative to the current portfolio value), rather than the equity ownership approach

Usage

Weighted_Average_Carbon_Intensity(portfolio_exposure, emissions_revenue_data)

Arguments

portfolio_exposure	The exposure per issuer in the portfolio
emissions_revenue_data	The capitalization, revenue and the Scope 1 & 2 GHG emissions per issuer

Value

Total carbon emissions for a portfolio normalized by the market value of the portfolio, expressed in tons CO2e / $M invested.

Author(s)

Tasos Grivas <[e-mail]>

References

https://www.tcfdhub.org/Downloads/pdfs/E09

Examples

 portfolio_exposure     = data.table::data.table(Issuers = c('A','B','C'),
  exposures = c(100, 200, 50))
 emissions_revenue_data = data.table::data.table(Issuers = c('A','B','C'), 
 emissions = c(1000, 5000, 2000),
  revenue = c(2000, 5000, 3000))
 Weighted_Average_Carbon_Intensity(portfolio_exposure, emissions_revenue_data)

Trading documentation built on Feb. 13, 2024, 3 a.m.