RT Journal Article
T1 Systemic risk effects of climate transition on financial stability
A1 Ojea-Ferreiro, Javier
A1 Reboredo Nogueira, Juan Carlos
A1 Ugolini, Andrea
K1 Climate risks
K1 Financial stability
K1 Systemic risk
K1 Copulas
AB We assess how climate transition risk, through its effects on asset prices, could impact financial stability. Using copula functions, we characterize the conditional distribution of financial firm returns under different climate-related market scenarios. We account for average and tail effects of climate transition scenarios on the value of financial firms using three systemic risk metrics: climate transition expected returns, climate transition value-at-risk, and climate transition expected shortfall. Empirical evidence indicates that European banks experience the highest systemic impacts from a disorderly transition, and that the cost of rescuing more risk-exposed financial firms from climate transition losses is relatively manageable.
PB Elsevier
SN 1057-5219
YR 2024
FD 2024-10-30
LK https://hdl.handle.net/10347/39811
UL https://hdl.handle.net/10347/39811
LA eng
NO Ojea-Ferreiro, J., Reboredo, J. C., & Ugolini, A. (2024). Systemic risk effects of climate transition on financial stability. International Review of Financial Analysis, 9610.1016/j.irfa.2024.103722
NO This research project was funded by the Agencia Estatal de Investigación (Ministerio de Ciencia, Innovación y Universidades) under research projects with references RTI2018-100702-B-I00 and PID2021-124336OB-I00, co-funded by the European Regional Development Fund (ERDF/FEDER). Juan C. Reboredo acknowledges financial support provided by the Xunta de Galicia through research project CONSOLIDACIÓN 2023 GRC GI-2060 Análise Económica dos Mercados e Institucións – AEMI (ED431C2023/05).
DS Minerva
RD 24 abr 2026