Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/247900 
Year of Publication: 
2021
Series/Report no.: 
Staff Reports No. 977
Publisher: 
Federal Reserve Bank of New York, New York, NY
Abstract: 
Climate change could impose systemic risks upon the financial sector, either via disruptions in economic activity resulting from the physical impacts of climate change or changes in policies as the economy transitions to a less carbon-intensive environment. We develop a stress testing procedure to test the resilience of financial institutions to climate-related risks. Specifically, we introduce a measure called CRISK, systemic climate risk, which is the expected capital shortfall of a financial institution in a climate stress scenario. We use the measure to study the climate-related risk exposure of large global banks in the collapse of fossil-fuel prices in 2020.
Subjects: 
climate risk
financial stability
stress testing
JEL: 
Q54
C53
G20
Document Type: 
Working Paper

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