CRISK: Quantifying the Expected Capital Shortfall in a Climate Stress Scenario
Michael Robbins, Columbia University
In this conference presentation, we examine a market-based methodology to assess banks' resilience to climate-related risks. This methodology is based on the work done by the economists at the Federal Reserve Bank of New York and other academics, including the Nobel Prize winner Bob Engle, and has been published in the Fed staff working paper. Additionally, a large Asian central bank replicated the methodology for their geography and published the results.
The methodology examines the climate-related risk exposure of large global banks using a novel metric called CRISK, which represents the expected capital shortfall in a climate stress scenario. It also introduces climate risk factors and measures banks' stock return sensitivity—referred to as climate beta—towards these factors.
This presentation highlights the significance of this approach in assessing and managing climate-related risks at the financial institution level and emphasizes its potential in enhancing the financial sector's resilience to climate change.
Published: 7 Nov 2023
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