Arbeitspapier
Accounting for climate transition risk in banks' capital requirements
This paper uses a stylized simulation model to assess the potential impact of transition risk on banks' balance sheets and establishes a basis for calibrating relevant macro-prudential instruments. We show that even in the short run, a fire-sale mechanism could amplify an initially contained shock on highcarbon assets into a systemic crisis with significant losses for the EU banking sector. We calculate that an additional capital buer of 0.5% RWA on average would be sucient to protect the system. Moreover, under an orderly transition, the decrease in banks' transition risk exposure due to the greening of the economy would reduce the eect of a fire-sale by a factor of 10.
- Sprache
-
Englisch
- Erschienen in
-
Series: JRC Working Papers in Economics and Finance ; No. 2022/8
- Klassifikation
-
Wirtschaft
Statistical Simulation Methods: General
Climate; Natural Disasters and Their Management; Global Warming
- Thema
-
Green transition risk
dynamic balance sheet
banking crisis
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Alessi, Lucia
Di Girolamo, Erica Francesca
Pagano, Andrea
Petracco Giudici, Marco
- Ereignis
-
Veröffentlichung
- (wer)
-
European Commission
- (wo)
-
Ispra
- (wann)
-
2022
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:42 MEZ
Datenpartner
Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Alessi, Lucia
- Di Girolamo, Erica Francesca
- Pagano, Andrea
- Petracco Giudici, Marco
- European Commission
Entstanden
- 2022
Ähnliche Objekte (12)
Accounting Changes and Enforcement of Bank Capital Requirements in a Crisis
Costless Capital Requirements
Human capital in transition : on the changing skill requirements and skill transferability
Incentive-based capital requirements
How can green differentiated capital requirements affect climate risks? : A dynamic macrofinancial analysis
How can green differentiated capital requirements affect climate risks? A dynamic macrofinancial analysis
Capital requirements of developing countries
Optimal variable bank capital requirements
An accounting system to support process improvements: Transition to lean accounting
Cyclical implications of minimum capital requirements
Credit allocation, capital requirements and output
Macroprudential regulation and systemic capital requirements
Accounting Changes and Enforcement of Bank Capital Requirements in a Crisis
Costless Capital Requirements
Human capital in transition : on the changing skill requirements and skill transferability
Incentive-based capital requirements
How can green differentiated capital requirements affect climate risks? : A dynamic macrofinancial analysis
How can green differentiated capital requirements affect climate risks? A dynamic macrofinancial analysis
Capital requirements of developing countries
Optimal variable bank capital requirements
An accounting system to support process improvements: Transition to lean accounting
Cyclical implications of minimum capital requirements
Credit allocation, capital requirements and output
Macroprudential regulation and systemic capital requirements
Accounting Changes and Enforcement of Bank Capital Requirements in a Crisis
Costless Capital Requirements
Human capital in transition : on the changing skill requirements and skill transferability
Incentive-based capital requirements
How can green differentiated capital requirements affect climate risks? : A dynamic macrofinancial analysis
How can green differentiated capital requirements affect climate risks? A dynamic macrofinancial analysis
Capital requirements of developing countries
Optimal variable bank capital requirements
An accounting system to support process improvements: Transition to lean accounting
Cyclical implications of minimum capital requirements
Credit allocation, capital requirements and output