{"id":2747,"date":"2022-12-09T21:48:49","date_gmt":"2022-12-09T08:48:49","guid":{"rendered":"https:\/\/blogs.otago.ac.nz\/cefg\/?p=2747"},"modified":"2022-12-09T21:48:49","modified_gmt":"2022-12-09T08:48:49","slug":"cefgroup-new-publication-on-climate-stress-testing","status":"publish","type":"post","link":"https:\/\/blogs.otago.ac.nz\/cefg\/cefgroup-new-publication-on-climate-stress-testing\/","title":{"rendered":"CEFGroup New Publication on Climate Stress Testing"},"content":{"rendered":"<hr \/>\n<p style=\"text-align: justify\">Climate and Energy Finance Group (CEFGroup)&#8217;s recent publication in <a href=\"https:\/\/www.sciencedirect.com\/journal\/international-review-of-financial-analysis\">International Review of Financial Analysis (IRFA)<\/a>, <em><strong>Climate Transition Risk in U.S. Loan Portfolios: Are All Banks the Same?<\/strong><\/em>, is now available <a href=\"https:\/\/www.sciencedirect.com\/science\/article\/pii\/S1057521922003519?dgcid=author\"><strong>HERE<\/strong><\/a>.<\/p>\n<p style=\"text-align: justify\">The paper uses a\u00a0bottom-up, loan-level forward-looking approach to stress test banks\u2019 exposure to climate transition risk (CTR) in syndicated loans. It highlights that:<\/p>\n<ul>\n<li style=\"text-align: justify\">Banks vary in CTR, not only due to their exposure to the energy sectors, but also due to borrowers&#8217; carbon emission profiles from other sectors;<\/li>\n<li style=\"text-align: justify\">CTR is stable over time, save for a temporary (in some cases) and permanent (in others), reduction after the Paris Agreement;<\/li>\n<li style=\"text-align: justify\">From the stress test, the median loss is 0.5% of U.S. syndicated loans, representing a proportional decrease of 4.1% in CET1 capital; and<\/li>\n<li style=\"text-align: justify\">Banks&#8217; vulnerabilities are also driven by the ex-ante financial risk of their borrowers more generally, highlighting that climate risk is not independent from conventional risks<\/li>\n<\/ul>\n<p style=\"text-align: justify\"><strong>Authors:<\/strong>\u00a0<strong><a href=\"https:\/\/www.otago.ac.nz\/accountancyfinance\/staff\/otago827229.html\">Dr Quyen Nguyen<\/a><\/strong>, <strong><a href=\"https:\/\/www.otago.ac.nz\/accountancyfinance\/staff\/otago032953.html\">Professor Ivan Diaz-Rainey<\/a><\/strong>, <a href=\"https:\/\/www.otago.ac.nz\/accountancyfinance\/staff\/otago689207.html\"><strong>Dr Duminda Kuruppuarachchi<\/strong><\/a>, <a href=\"https:\/\/www.business-school.ed.ac.uk\/staff\/matt-mccarten\"><strong>Dr Matt McCarten<\/strong><\/a> (<a href=\"https:\/\/www.ed.ac.uk\/\">University of Edinburgh<\/a>), and <strong><a href=\"https:\/\/business.uq.edu.au\/profile\/1085\/eric-tan\">Dr Eric Tan<\/a><\/strong> (<a href=\"https:\/\/www.uq.edu.au\/\">The University of Queensland<\/a>)<\/p>\n<p><a href=\"https:\/\/blogs.otago.ac.nz\/cefg\/files\/2022\/12\/1-s2.0-S1057521922X00057-cov200h.gif\"><img loading=\"lazy\" decoding=\"async\" class=\"aligncenter size-full wp-image-2748\" src=\"https:\/\/blogs.otago.ac.nz\/cefg\/files\/2022\/12\/1-s2.0-S1057521922X00057-cov200h.gif\" alt=\"\" width=\"150\" height=\"200\" \/><\/a><\/p>\n<hr \/>\n","protected":false},"excerpt":{"rendered":"<p>Climate and Energy Finance Group (CEFGroup)&#8217;s recent publication in International Review of Financial Analysis (IRFA), Climate Transition Risk in U.S. Loan Portfolios: Are All Banks the Same?, is now available HERE. The paper uses a\u00a0bottom-up, loan-level forward-looking approach to stress test banks\u2019 exposure to climate transition risk (CTR) in syndicated loans. It highlights that: Banks [&hellip;]<\/p>\n","protected":false},"author":41694,"featured_media":0,"comment_status":"open","ping_status":"open","sticky":false,"template":"","format":"standard","meta":{"footnotes":""},"categories":[],"tags":[],"class_list":["post-2747","post","type-post","status-publish","format-standard","hentry"],"post_mailing_queue_ids":[],"_links":{"self":[{"href":"https:\/\/blogs.otago.ac.nz\/cefg\/wp-json\/wp\/v2\/posts\/2747","targetHints":{"allow":["GET"]}}],"collection":[{"href":"https:\/\/blogs.otago.ac.nz\/cefg\/wp-json\/wp\/v2\/posts"}],"about":[{"href":"https:\/\/blogs.otago.ac.nz\/cefg\/wp-json\/wp\/v2\/types\/post"}],"author":[{"embeddable":true,"href":"https:\/\/blogs.otago.ac.nz\/cefg\/wp-json\/wp\/v2\/users\/41694"}],"replies":[{"embeddable":true,"href":"https:\/\/blogs.otago.ac.nz\/cefg\/wp-json\/wp\/v2\/comments?post=2747"}],"version-history":[{"count":0,"href":"https:\/\/blogs.otago.ac.nz\/cefg\/wp-json\/wp\/v2\/posts\/2747\/revisions"}],"wp:attachment":[{"href":"https:\/\/blogs.otago.ac.nz\/cefg\/wp-json\/wp\/v2\/media?parent=2747"}],"wp:term":[{"taxonomy":"category","embeddable":true,"href":"https:\/\/blogs.otago.ac.nz\/cefg\/wp-json\/wp\/v2\/categories?post=2747"},{"taxonomy":"post_tag","embeddable":true,"href":"https:\/\/blogs.otago.ac.nz\/cefg\/wp-json\/wp\/v2\/tags?post=2747"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}