Accounting for climate transition risk in banks’ capital requirements

IF 6.1 2区 经济学 Q1 BUSINESS, FINANCE
Lucia Alessi, Erica Francesca Di Girolamo, Andrea Pagano, Marco Petracco Giudici
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引用次数: 0

Abstract

This paper uses a stylized simulation model to assess the potential impact of climate transition risk on banks’ balance sheets in a climate-stress-testing (i.e. short-run) framework. We show that a moderate to high transition risk increases overall bank losses only relatively modestly if the baseline is a stressed macroeconomic scenario. However, even in a benign macroeconomic scenario, if high-carbon assets are at least 13% riskier than comparable assets a fire sale mechanism could amplify an initially contained shock into a systemic crisis, resulting in significant losses for the EU banking sector. We show that transition risks are concentrated, and find that an additional capital buffer of 0.9% risk-weighted assets on average would be sufficient to protect the system.

银行资本要求中的气候转型风险核算
本文使用一个风格化的模拟模型,在气候压力测试(即短期)框架内评估气候过渡风险对银行资产负债表的潜在影响。我们的研究表明,如果基线是受压的宏观经济情景,中度到高度的过渡风险只会相对适度地增加银行的整体损失。然而,即使在宏观经济形势良好的情况下,如果高碳资产的风险比同类资产高出至少 13%,那么火灾销售机制就会将最初受到控制的冲击放大为系统性危机,从而给欧盟银行业造成重大损失。我们的研究表明,过渡风险非常集中,并发现平均 0.9% 风险加权资产的额外缓冲资本足以保护系统。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
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来源期刊
CiteScore
7.70
自引率
9.30%
发文量
78
审稿时长
34 days
期刊介绍: The Journal of Financial Stability provides an international forum for rigorous theoretical and empirical macro and micro economic and financial analysis of the causes, management, resolution and preventions of financial crises, including banking, securities market, payments and currency crises. The primary focus is on applied research that would be useful in affecting public policy with respect to financial stability. Thus, the Journal seeks to promote interaction among researchers, policy-makers and practitioners to identify potential risks to financial stability and develop means for preventing, mitigating or managing these risks both within and across countries.
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