A0270
Title: Measuring the impact of climate transition risk in the systemic risk: A multivariate quantile-located ES approach
Authors: Lidia Sanchis-Marco - University of Castilla-La Mancha (Spain) [presenting]
Laura Garcia-Jorcano - Universidad de Castilla-La Mancha (Spain)
Abstract: A climate systemic risk measure, delta climate transition at systemic risk (DeltaCT-at-SR) is introduced, under three climate transition scenarios that indicate different levels of vulnerability to the transition to a low-carbon economy (hothouse world, disorderly, and orderly transition). Green and brown banking indices are constructed based on the carbon risk score (CRS) of banks from Europe, the US, and China. In the estimation and forecasting analysis, the highest systemic risk is found in the disorderly scenario during distress periods, especially during the period of COVID-19. The systemic risk measure could forecast climate-related risk in the financial system.
