Related papers: Climate Risk Stress Testing in California: A Geosp…
The document discusses the financial climate risk in the context of the banking industry, emphasizing the need for a comprehensive understanding of climate change across different spatial and temporal scales. It highlights the challenges in…
The financial sector is increasingly concerned with the physical risks of climate change, but economic and financial impact representations are still developing, particularly for chronic risks. Mexico's Central Bank conducted a…
This paper proposes a formal framework for reverse stress testing geopolitical risk in corporate credit portfolios. A joint macro-financial scenario vector, augmented with an explicit geopolitical risk factor, is mapped into stressed…
The document addresses the essential role of financial regulatory frameworks in mitigating climate-related risks within the financial sector. The assessment evaluates Canada's efforts to establish a regulatory framework for financial…
The document provides an overview of financial climate risks. It delves into how climate change impacts the global financial system, distinguishing between physical risks (such as extreme weather events) and transition risks (stemming from…
Climate-related phenomena are increasingly affecting regions worldwide, manifesting as floods, water scarcity, and heat waves, significantly impairing companies' assets and productivity. It is essential for asset managers to quantify the…
Climate resilience across sectors varies significantly in low-income countries (LICs), with agriculture being the most vulnerable to climate change. Existing studies typically focus on individual countries, offering limited insights into…
Since the Great Financial Crisis (GFC), the use of stress tests as a tool for assessing the resilience of financial institutions to adverse financial and economic developments has increased significantly. One key part in such exercises is…
Wildfire is one of the biggest disasters that frequently occurs on the west coast of the United States. Many efforts have been made to understand the causes of the increases in wildfire intensity and frequency in recent years. In this work,…
In this paper, we present a methodology for measuring the impact of scenarios on the expected losses of exposures by leveraging the existing provisioning infrastructure within financial institutions, where scenario effects are captured…
This paper addresses estimates of climate risk embedded within a bank credit portfolio. The proposed Climate Extended Risk Model (CERM) adapts well known credit risk models and makes it possible to calculate incremental credit losses on a…
The initial Climate-Extended Risk Model (CERM) addresses the estimate of climate-related financial risk embedded within a bank loan portfolio, through a climatic extension of the Basel II IRB model. It uses a Gaussian copula model…
This paper presents a machine learning driven framework for sectoral stress testing in the Indian financial market, focusing on financial services, information technology, energy, consumer goods, and pharmaceuticals. Initially, we address…
We present an econometric framework that adapts tools for scenario analysis, such as variants of conditional forecasts and generalized impulse responses, for use with dynamic nonparametric models. The proposed algorithms are based on…
Natural hazard risk management is a demanding interdisciplinary task. It requires domain knowledge, integration of robust computational methods, and effective use of complex datasets. However, existing solutions tend to focus on specific…
Decisions related to electric power systems planning and operations rely on assumptions and insights informed by historic weather data and records of past performance. Evolving climate trends are, however, changing the energy use patterns…
This paper presents the California Test System (CATS), a synthetic transmission grid in California that can be used by the public for power systems policy research without revealing any critical energy information. The proposed synthetic…
In this paper, we are interested in evaluating the resilience of financial portfolios under extreme economic conditions. Therefore, we use empirical measures to characterize the transmission process of macroeconomic shocks to risk…
Credit risk stress testing has become an important risk management device which is used both by banks internally and by regulators. Stress testing is complex because it essentially means projecting a bank's full balance sheet conditional on…
Driven by the increasing frequency and intensity of natural disasters and chronic climate threats, we investigate the impact of physical climate risk on global equity portfolios. By employing a panel regression analysis on sectoral returns,…