in setting up a framework to assess physical climate risk in the financial system. The TA mission focused on (i …) proposing a risk assessment framework tailored to available data, with a focus on the impact of floods on the banking sector … approach for climate risk assessment based on high-granularity data and two alternative options relying on more aggregate data …

We propose a new machine-learning-based approach for forecasting Value-at-Risk (VaR) named CoFiE-NN where a neural … tail risk named tail risk ratio under CoFiE-NN. We discover that the only 20 percent of tail risk dynamics across 22 …

Kazakhstan is vulnerable to transition risk due to the importance of its energy- and emissions-intensive sectors … heterogenous impacts across industries and banks. Using both micro and macro modeling approaches, the climate risk analysis … suggests Kazakhstani banks are exposed to significant transition risk from domestic and, more importantly, global climate …

stress test results broadly corroborated the identified vulnerabilities and quantified them. The climate risk analysis … well capitalized, although capital ratios are biased upward by large government paper holdings with zero risk weights. The … results of the solvency stress test corroborate that banks are less vulnerable to credit risk than they are to the impact of a …