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

量化企业对气候转型风险的抵御能力：建模关键驱动因素、量化弹性、评估对企业信用风险的影响

• 批准号: 2603440
• 金额: --
• 依托单位: Birkbeck, University of London
• 依托单位国家: 英国
• 项目类别: Studentship
• 财政年份: 2021
• 资助国家: 英国
• 起止时间: 2021 至 无数据
• 项目状态: 未结题
• 来源: https://gtr.ukri.org/projects?ref=studentship-2603440
• 关键词: Quantifying; resilience; firms; climate; transition

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.

气候变化和为减缓气候变化而向低碳经济过渡会产生巨大的经济成本。这些成本最终由企业承担，影响其现金流和财富，而现金流和财富是其信誉的关键决定因素。因此，与气候变化有关的成本是信贷风险的一个潜在来源。包括气候信用风险在内的高质量信用风险评估对债权人和中央银行都至关重要。低估与这类事件有关的损失使公司面临财务损失，使监管机构面临持有信贷质量不佳的资产的风险。随着监管机构要求银行对这些迄今为止一直被忽视的风险进行压力测试，这些风险增加了发展这方面专业知识的必要性。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。为这些复杂的基础提供见解的模型尚处于萌芽阶段，但提供了有意义的见解。在这项研究中，我们建议量化单个企业对转型风险的弹性，具体来说，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。这些弹性反过来将被应用到传统的信用风险模型，以评估对公司信誉的影响。在公司层面，弹性也可用于进行宏观压力测试，以达到监管目的。