Systemic risk effects of climate transition on financial stability
研究了气候转型风险如何通过资产价格影响金融稳定，使用copula函数和三种系统性风险指标，发现欧洲银行在无序转型中受影响最大，但救助成本相对可控。
We assess how climate transition risk, through its effects on asset prices, could impact financial stability . Using copula functions, we characterize the conditional distribution of financial firm returns under different climate-related market scenarios. We account for average and tail effects of climate transition scenarios on the value of financial firms using three systemic risk metrics: climate transition expected returns, climate transition value-at-risk, and climate transition expected shortfall. Empirical evidence indicates that European banks experience the highest systemic impacts from a disorderly transition, and that the cost of rescuing more risk-exposed financial firms from climate transition losses is relatively manageable.