; (iii) a novel set of climate-specific models to capture the direct and indirect transmission channels of climate risk …

, whilst removing credit risk transmission, systematically increase default risk …

Addressing recent calls by European regulatory and supervisory authorities, we develop a new bottom-up climate risk … default risk of STOXX Europe 600 firms. For about 5% of the sample firms, we find asset devaluation shocks larger than 30% and … stress test on credit risk based on these results, we find a decrease in capital ratios between $$-1.2$$and $$-1 …

building a dynamic stochastic general equilibrium model linked to global climate and a catastrophe risk model specifically for … drawing strong conclusions about the relevance of climate risk, as the model focused only on typhoons’ physical capital …

We examine the impact of the U.S. withdrawal from the Paris Agreement on the relationship between climate risk and … systemic risk of U.S. global banks. We find that after 2017, investors stopped pricing climate risk into U.S. systemic risk … directly, consistent with domestic investors expecting climate risk deregulation. However, climate risk still indirectly …

stranded-asset risk rely less on bond finance and more on bank credit. While bond investors price stranding risk, banks in the … relative contraction in bond market credit supply. We also find that large banks are more likely to lend to risk-exposed firms …, raising questions about how climate risk is distributed and whether credit flows align with transition objectives. …

This paper investigates the determinants of credit risk from a broad perspective. Particular attention is given to the … role of housing affordability and household indebtedness. However, the impact of credit market developments and regulations … is also closely examined. Using a large panel of countries it is found that housing affordability and household fragility …

default ratios in Spain for loans extended to the household sector. We estimate the models for two alternative definitions of …