A Finance Approach to Climate Stress Testing

H. J. Reinders, D. Schoenmaker, Mathijs A. Van Dijk
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引用次数: 33

Abstract

There is increasing interest in assessing the impact of climate policies on the value of financial sector assets, and consequently on financial stability. Prior studies either take a "black box" macro-modelling approach to climate stress testing or focus solely on equity instruments - though banks' exposures predominantly consist of debt. We take a more tractable finance (valuation) approach at the industry-level and use a Merton contingent claims model to assess the impact of a carbon tax shock on the market value of corporate debt and residential mortgages. We calibrate the model using detailed, proprietary exposure data for the Dutch banking sector. For a €100 to €200 per tonne carbon tax we find a substantial decline in the market value of banks' assets equivalent to 4-63% of core capital, depending on policy choices.
气候压力测试的金融方法
人们越来越有兴趣评估气候政策对金融部门资产价值的影响,从而对金融稳定的影响。先前的研究要么采用“黑箱”宏观建模方法进行气候压力测试,要么只关注股权工具——尽管银行的风险敞口主要由债务构成。我们在行业层面采用了一种更容易处理的融资(估值)方法,并使用默顿或有债权模型来评估碳税冲击对企业债务和住宅抵押贷款市场价值的影响。我们使用荷兰银行业详细的专有风险敞口数据来校准模型。对于每吨100欧元至200欧元的碳税,我们发现银行资产的市场价值大幅下降,相当于核心资本的4-63%,具体取决于政策选择。
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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