Scholarlink

<p>This paper develops a methodology to evaluate climate transition matrices and the role of denominator choice in scaling corporate carbon emissions. Using firm-level data from STOXX Europe 600 constituents between 2015 and 2020, we construct 1-year transition probabilities and extend them to 5-year horizons via stratified bootstrapping. We assess accuracy, temporal stability, and economic relevance of alternative denominators through distance metrics, time-consistency tests, and expected carbon impact. Our results show that Enterprise Value Including Cash (EVIC) provides the most reliable denominator, yielding the lowest distance from empirical benchmarks and the most stable transition structure, while also highlighting persistent high emitters in the upper tail. Market capitalization performs competitively on accuracy but is more sensitive to financial market volatility. These findings have direct implications for portfolio alignment, disclosure, and prudential stress testing under emerging regulatory frameworks such as CSRD, SFDR, and the EU Taxonomy. The study contributes to the literature by bridging statistical evaluation of transition matrices with their financial interpretation, providing investors and regulators with a robust tool to assess corporate decarbonization pathways.</p>

错误：搜索内容不能为空，请输入英文关键词
错误：关键词超出字数限制，请精简
高级检索

Climate transition matrix: assessing carbon performance of companies

  • 期刊论文

  • 发表日期：

    2026年4月6日

查看全文
  • Andrej Bajic,
  • Rüdiger Kiesel

摘要

This paper develops a methodology to evaluate climate transition matrices and the role of denominator choice in scaling corporate carbon emissions. Using firm-level data from STOXX Europe 600 constituents between 2015 and 2020, we construct 1-year transition probabilities and extend them to 5-year horizons via stratified bootstrapping. We assess accuracy, temporal stability, and economic relevance of alternative denominators through distance metrics, time-consistency tests, and expected carbon impact. Our results show that Enterprise Value Including Cash (EVIC) provides the most reliable denominator, yielding the lowest distance from empirical benchmarks and the most stable transition structure, while also highlighting persistent high emitters in the upper tail. Market capitalization performs competitively on accuracy but is more sensitive to financial market volatility. These findings have direct implications for portfolio alignment, disclosure, and prudential stress testing under emerging regulatory frameworks such as CSRD, SFDR, and the EU Taxonomy. The study contributes to the literature by bridging statistical evaluation of transition matrices with their financial interpretation, providing investors and regulators with a robust tool to assess corporate decarbonization pathways.