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소장정보 검색

국회도서관 홈으로 정보검색 소장정보 검색

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Title page

Contents

Abstract 2

Non-technical summary 3

1. Introduction 5

2. Policy context and literature overview 8

2.1. Policy context 8

2.2. Literature overview 10

3. Methodology 13

3.1. ECB top-down climate stress test 13

3.2. From the ECB climate stress test to transition risk losses 17

3.3. Calibrating the SyRB requirements 21

4. Results 22

4.1. Calibration factor of 1: absorbing all projected losses 22

4.2. Other calibration factors: partial coverage of projected losses 26

4.3. Other calibration factors: policy trade-off 27

5. Robustness and extensions 29

5.1. Adverse macroeconomic scenario 29

5.2. Extension to Less-Significant Institutions 31

5.3. Longer time frame 33

6. Conclusion 35

References 37

Acknowledgements 40

Tables

Table 1. Climate SyRB 25

Table 2. Climate SyRB - different calibration factors 26

Table 3. Potential impact of the climate SyRB on credit growth 29

Table 4. Climate SyRB - baseline versus adverse macroeconomic scenario 31

Table 5. Climate SyRB - SIs and LSIs 33

Figures

Figure 1. The current policies and accelerated transition scenarios of the ECB CST (2023) 15

Figure 2. PDs in the accelerated transition and current policies scenario 17

Figure 3. Schematic overview of calibration framework 22

Figure 4. Transition risk losses relative to RWA, 2023-2025 23

Figure 5. Transition risk losses and excess CET1 relative to RWA 25

Figure 6. Adverse transition risk losses relative to RWA, 2023-2025 30

Figure 7. SI and LSI transition risk losses relative to RWA, 2023-2025 32

Figure 8. Transition risk losses relative to RWA, 2023-2030 34

Figure 9. Comparison of transition risk losses across time periods 34

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