Articles | Volume 21, issue 4
Research article
19 Apr 2017
Research article |  | 19 Apr 2017

A water risk index for portfolio exposure to climatic extremes: conceptualization and an application to the mining industry

Luc Bonnafous, Upmanu Lall, and Jason Siegel

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Cited articles

Adriaens, P., Sun, K., and Gao, R.: Bridging Physical and Financial business Water Risk: waterVar and waterBeta metrics for Equity Portfolio Risk Assessment, University of Michigan, AnnArbor, 2014.
Alemohammad, S. H., Fang, B., Konings, A. G., Green, J. K., Kolassa, J., Prigent, C., Aires, F., Miralles, D., and Gentine, P.: Water, Energy, and Carbon with Artificial Neural Networks (WECANN): A statistically-based estimate of global surface turbulent fluxes using solar-induced fluorescence, Biogeosciences Discuss.,, in review, 2016.
Barrick Gold Corporation: Annual Report 2015, Barrick Gold Corporation, Toronto, Canada, 2016.
Baurens, S.: Valuation of Mining Assets, Basinvest, Zurich, Switzerland, 2010.
BHP Billiton: Pampa Norte – Spence, Extreme Rainfall Event, 24–27 March 2015, BHP Billiton, Santiago, Chile, 2015.
Short summary
While water-risk management plans for economic assets are the norm on a local basis, it is possible that there is correlation in the climate induced portfolio water risk across operational sites. Therefore, from an investor's perspective, a need exists for a water risk index that allows for an exploration of the possible space and/or time clustering in exposure across many sites. This paper represents an attempt to develop such an index using long daily global modelled rainfall data sets.