Climate-change scenarios require volatility effects to imply substantial credit losses: shocks drive credit risk not changes in economic trends

Climate-change scenarios require volatility effects to imply substantial credit losses: shocks drive credit risk not changes in economic trends

IntroductionLong-run Macro-Prudential stability objectives for the banking system have recently motivated a detailed focus on potential future credit risks stemming from climate change. Led by regulators and the NGFS, early approaches apply smooth, top-down scenarios that utilize carbon emissions da...

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Bibliographic Details
Main Authors: Scott D. Aguais, Laurence R. Forest
Format: Article
Language:English
Published: Frontiers Media S.A. 2023-04-01
Series:Frontiers in Climate
Subjects:
climate stress testing
credit risk
climate risk
credit cycles
credit factor models
climate change
Online Access:https://www.frontiersin.org/articles/10.3389/fclim.2023.1127479/full

Internet

https://www.frontiersin.org/articles/10.3389/fclim.2023.1127479/full

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