Arbeitspapier

Climate stress testing

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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.

Language: Englisch

Bibliographic citation: Series: Staff Report ; No. 977

Classification: Wirtschaft
Climate; Natural Disasters and Their Management; Global Warming
Forecasting Models; Simulation Methods
Financial Institutions and Services: General

Subject: climate risk
financial stability
stress testing

Event: Geistige Schöpfung

(who): Jung, Hyeyoon
Engle, Robert F.
Berner, Richard B.

Event: Veröffentlichung

(who): Federal Reserve Bank of New York

(where): New York, NY

(when): 2021

Handle: http://hdl.handle.net/10419/247900

Last update: 10.03.2025, 11:44 AM CET

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Object type

Arbeitspapier

Associated

Jung, Hyeyoon
Engle, Robert F.
Berner, Richard B.
Federal Reserve Bank of New York

Time of origin

2021

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