Alessi Lucia, Di Girolamo Erica Francesca, Pagano Andrea, Giudici Marco Petracco
European Commission - Joint Research Centre, Italy.
J Financ Stab. 2024 Aug;73:None. doi: 10.1016/j.jfs.2024.101269.
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.
本文使用一个程式化的模拟模型，在气候压力测试（即短期）框架下评估气候转型风险对银行资产负债表的潜在影响。我们表明，如果基线是一个压力宏观经济情景，中度到高度的转型风险只会使银行总体损失相对适度增加。然而，即使在良性宏观经济情景下，如果高碳资产比可比资产风险至少高13%，贱卖机制可能会将最初受到控制的冲击放大为系统性危机，给欧盟银行业带来重大损失。我们表明转型风险是集中的，并发现平均额外增加0.9%风险加权资产的资本缓冲足以保护该体系。
