Climate-Related Financial Risk: Arguments, Analytics and Regulations
First published:
ISBN: 978-1-78272-448-3
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References
References
Acknowledgements
Foreword
Preface
Introduction
Regulator motivation and aims
Scenarios
Two underappreciated climate risk topics: Exposure at default and asset valuation
Assessing the available evidence related to consumer credit risk
The modelling of climate-related financial risk
Credit risk – Probabilities of default models
Climate-related loss given default
Market risk
Liquidity risk
Operational risk
The (limited) power of disclosures
Financial regulators’ climate mandate should be formalised
Where to for climate risk regulation?
Conclusions: Using finance to drive climate solutions
References
Abdelnour, C., and A. Eliseev, 2022, “Understanding Loss Given Default: A Review of Three Approaches”, S&P Global Market Intelligence (June).
Acharya, V. V., R. Berner, R. Engle, H. Jung, J. Stroebel, X. Zeng, and Y. Zhao, 2023, “Climate Stress Testing”, Staff Reports, No. 1059 (June), Federal Reserve Bank of New York.
Adrian, T., and H. S. Shin, 2008, “Liquidity, Monetary Policy and Financial Cycles”, Current Issues in Economics and Finance 14(1) (January/February).
Aerts, S., M. Spaggiari and L. Stracca, 2023, “Climate Scenarios: Procrastination Comes at High Cost”, The ECB Blog (December 4).
Aguilar, P., Gonzàlez, B. and Hurtado, S., 2022, “Carbon Tax Sectoral (CATS) Model: A Sectoral Model for Energy Transition Stress Test Scenario”, Documentos Ocasionales, No. 2218, Banco de Espana – more complex production/energy distribution set-up but simplified Labour (household) programme (no risk sharing) across countries.
Allen, L., and T. G. Bali, 2007, “Cyclicality in Catastrophic and Operational Risk Measurements”, Journal of Banking & Finance 31(4), pp. 1191–235.
Alogoskoufis, S., Dunz, D., Emambakhsh, T., Hennig, T., Kaijser, M., Kouratzoglou, C., Muñoz, M. A., Parisi, L. and Salleo, C
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