Accounting for climate transition risk in banks’ capital requirements
通过模拟压力测试，评估气候转型风险对银行资产负债表的影响，发现高碳资产风险集中，平均需额外0.9%资本缓冲防范系统性危机。
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.