This talk focuses on joint work with Antoine Kornprobst, from Western University.

Climate change will impact many aspects of society including economies. Of obvious economic importance are impacts on agricultural and timber production, wildfire risk, transportation via rivers and canals, and coastal real estate – also of interest is changes in wildfire and general storm risk.

For many reasons, including risk management, regulatory requirements, and even green transition planning, it is of interest to consider the impact of climate change on crop yields and hence on agricultural producers and the financial institutions which lend to them.

After a general discussion of this problem, I will review some results from a study quantifying the impact of climate change on the income of corn farms in Ontario, at the 2068 horizon, under several warming scenarios. It is articulated around a discrete-time dynamic model of corn farm income with an annual time-step, corresponding to one agricultural cycle from planting to harvest. At each period, we compute the income of a farm given the corn yield, which is highly dependent on weather variables: temperature and rainfall. We also provide a reproducible forecast of the yearly distribution of corn yield for the regions around ten cities in Ontario, located where most of the corn growing activity takes place in the province. The price of corn futures at harvest time is taken into account and we fit our model by using 49 years of county-level historical climate and corn yield data. We then conduct out-of-sample Monte-Carlo simulations in order to obtain the farm income forecasts under a given climate change scenario, from +0C◦to + 4C◦

I will also discuss some other work, (Davison, Kornprobst, and also Jagdeep Brar, John Braun, and Warren Hare from UBC Okanagan) linking this work to agricultural loan portfolio valuation and construction.

I will close with thoughts on the pros and cons of the whole bottom up approach to this problem.