Climate stress testing

Arbeitspapier

Climate change could impose systemic risks upon the financial sector, either via disruptions in economic activity resulting from the physical impacts of climate change or changes in policies as the economy transitions to a less carbon-intensive environment. We develop a stress testing procedure to test the resilience of financial institutions to climate-related risks. Specifically, we introduce a measure called CRISK, systemic climate risk, which is the expected capital shortfall of a financial institution in a climate stress scenario. We use the measure to study the climate-related risk exposure of large global banks in the collapse of fossil-fuel prices in 2020.

Angaben zum Objekt

• Sprache: Englisch

Verweise und Beziehungen

• Erschienen in: Series: Staff Report ; No. 977

Klassifikation und Themen

• Klassifikation: Wirtschaft ; Climate; Natural Disasters and Their Management; Global Warming ; Forecasting Models; Simulation Methods ; Financial Institutions and Services: General
• Thema: climate risk ; financial stability ; stress testing

Beteiligte, Orts- und Zeitangaben

• Ereignis: Geistige Schöpfung
• (wer): Jung, Hyeyoon ; Engle, Robert F. ; Berner, Richard B.
• Ereignis: Veröffentlichung
• (wer): Federal Reserve Bank of New York
• (wo): New York, NY
• (wann): 2021

Weitere Informationen

• Handle: http://hdl.handle.net/10419/247900
• Letzte Aktualisierung: 10.03.2025, 11:44 MEZ