Quantifying resilience of firms to climate transition risks: Modeling key drivers, quantifying elasticities, assessing impact on firm's Credit Risk

气候变化和向低碳经济转型以缓解气候变化会产生巨大的经济成本。这些成本最终由公司承担，影响它们的现金流和财富，这是它们信誉的关键决定因素。因此，与气候变化相关的成本是信贷风险的一个潜在来源。对质量良好的信用风险进行评估，包括气候信用风险，对债权人和央行都至关重要。低估与此类事件相关的损失使公司面临财务损失，监管机构面临持有信用质量不足的资产的风险。随着监管机构朝着要求银行对此类风险进行压力测试的方向发展，这些措施增加了发展这一主题的专业知识的必要性。到目前为止，这些风险一直被忽视。气候信用风险采用基于未观察到的过去数据和相当复杂的因果联系的前瞻性方法。提供对这种复杂基础的洞察的模型还处于萌芽阶段，但提供了有意义的洞察。在这项研究中，我们建议量化单个公司对过渡风险的弹性，具体地说，我们建议对气候信用风险的关键驱动因素进行建模，并量化相关的弹性。这些弹性将反过来应用于传统的信用风险模型，以评估对公司信誉的影响。这些弹性还可以在公司层面上用于进行宏观压力测试，以达到监管目的。

Climate change and the transition to a low-carbon economy to mitigate it engender significant economic costs. These costs, ultimately are born by firms, affecting their Cash Flows and wealth, which are key determinants of their creditworthiness. Climate-change-related costs are thus a potential source of credit risk. A credit risk assessment of sound quality including climate credit risk is crucial for creditors and central banks alike. Underestimating losses associated with such events exposes firms to financial losses and regulators to the risks of holding assets of inadequate credit quality. These increase the need to develop expertise on the topic as regulators move towards requiring banks to conduct stress test on such risks which have -until now- been overlooked. Climate credit risk adopts a forward-looking approach based on unobserved past data and rather complex causal links. Models providing insights into such complex underpinnings are in their embryonic stage but provide meaningful insights. We propose in this research to quantify the resilience of individual firms to transition risks, specifically, we propose to model the key drivers of climate credit risk and quantify the associated elasticities. These elasticities will in turn be applied to traditional credit risk models to evaluate impacts on the creditworthiness of firms. The elasticities can also be used -at the firm level- to conduct macro stress tests for regulatory purposes.