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 …

management of transition risk exposures. Banks that signed the Net-Zero Alliance have reduced their exposures compared to non …

) risk estimates with portfolio risk. We use loan performance as a direct measure of portfolio risk as well as less direct … market-based measures. Our results document that loan performance is highly correlated with AIRB risk weights and that, in … contrast, Basel I risk weights are not reflective of loan performance. We find that capital requirements under the AIRB …

increase its value by matching the riskiness of its securities and the risk tolerance of its diverse creditors. Even a well … can mitigate excessive risk-taking …

-term transition scenarios, we document a significant variance among banks in their risk exposure, with the most exposed institutions …

This article discusses some policy options that central banks may find useful in dealing with climate change risk in … studies that suggest policy solutions to help central banks and other financial sector regulators deal with the risk that … change capital surcharge; impose a fixed-rate risk capital - based on Tier 2 capital; a reduction in lending to industries …

The insurance industry could potentially play a greater constructive role in mitigating climate risk by aligning with …

Climate risk impacts the insurance industry on both sides of the balance sheets. On the one hand, rising weather …

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