Addressing recent calls by European regulatory and supervisory authorities, we develop a new bottom-up climate risk … default risk of STOXX Europe 600 firms. For about 5% of the sample firms, we find asset devaluation shocks larger than 30% and … stress test on credit risk based on these results, we find a decrease in capital ratios between $$-1.2$$and $$-1 …

Climate risk is one of the type of risks in a bank's portfolio which is not fully recognized, and its impact on the … future overall risk changes is hidden due to lack of sufficient knowledge at the moment. One of the most common data comes … from Network for Greening the Financial System (NGFS) scenarios related to climate change (physical risk) and climate …

reverse stress test exercises in their risk assessment processes, aimed at detecting default or near-default scenarios. We … to derive the critical combination of risk factors that, by triggering a preset key capital indicator threshold, causes …. In the paper, we also show how to take into account some relevant risk factor interactions and second round effects such …

This paper analyzes the impact of US firms’ equity risk on bank lending standards and on the macroeconomy for two … groups: small and medium-large firms. The results indicate that a higher level of firm risk leads to a higher percentage of …-large firms. The finding provides support for the Risk Management Hypothesis, under which banks decrease lending to risky …

suitable sources of information: publicly available scientific data to perform fully transparent ESG risk estimates and expert …

Systemic risk, in a complex system with several interrelated variables, such as a financial market, is quantifiable … distribution function can provide a full quantification of risk and stress propagation in the system. However, multivariate … distributions, discussing their estimation from data and proposing novel measures for stress impact and systemic risk in systems …

This paper uses a stylized simulation model to assess the potential impact of transition risk on banks' balance sheets … system. Moreover, under an orderly transition, the decrease in banks' transition risk exposure due to the greening of the …

Purpose - This paper measures different market risk impacts on options portfolios under the new Fundamental Review of … estimate a portfolio's risk capital and presents an illustration applied to an option position. Second, it proposes a … application is developed to measure expected shortfall (ES) and value at risk (VaR) impacts under FRTB versus conventional VaR in …