CRISK: Measuring the climate risk exposure of the financial system

• 成果类型: Article
• 署名作者: Jung, Hyeyoon; Engle, Robert F.; Berner, Richard
• 署名单位: Federal Reserve System - USA; Federal Reserve Bank - New York; New York University
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2025.104076
• 发表日期: 2025
• 关键词: Climate risk; Financial stability; Systemic risk

摘要

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.