We develop a market-based methodology to assess banks’ resilience to climate-related risks and study the climate-related risk exposure of large global banks. We introduce a new measure, CRISK, which is the expected capital shortfall of a bank in a climate stress scenario. To estimate CRISK, we construct climate risk factors and dynamically measure banks’ stock return sensitivity (that is, climate beta) to the climate risk factor. We validate the climate risk factor empirically and the climate beta estimates by using granular data on large US banks’ loan portfolios. The measure is useful in quantifying banks’ climate-related risk exposure through the market risk and the credit risk channels.

中文翻译：

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CRISK：衡量金融体系的气候风险敞口

我们开发了一种基于市场的方法，以评估银行对气候相关风险的抵御能力，并研究大型全球银行的气候相关风险敞口。我们推出了一项新指标 CRISK，即在气候压力情景下银行的预期资本短缺。为了估计 CRISK，我们构建了气候风险因素，并动态衡量了银行对气候风险因素的股票回报敏感性（即气候贝塔）。我们通过使用美国大型银行贷款组合的精细数据，实证验证气候风险因素和气候贝塔估计。该指标有助于通过市场风险和信用风险渠道量化银行的气候相关风险敞口。