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.

中文翻译：

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气候转型对金融稳定的系统性风险影响


我们评估气候转型风险及其对资产价格的影响如何影响金融稳定。使用 copula 函数，我们描述了不同气候相关市场情景下金融公司回报的条件分布。我们使用三个系统性风险指标来考虑气候转型情景对金融公司价值的平均效应和尾效应：气候转型预期回报、气候转型风险价值和气候转型预期缺口。实证证据表明，欧洲银行受到无序转型的系统性影响最大，并且将更多风险暴露的金融公司从气候转型损失中拯救出来的成本相对可控。