我国银行业气候转型风险压力测试研究

Stress testing of climate transition risk in China

“气候风险会导致金融风险”已成为国际金融监管共识。随着我国碳达峰碳中和目标和相关行动方案制定实施,分析评估气候转型风险对我国金融稳定的影响十分必要。本文运用压力测试方法,假定碳排放政策趋严、碳减排技术进步和二者混合的三种压力冲击情景,并利用改进的总生产函数、宏观违约率模型等测算了不利情景冲击对我国银行业的整体影响程度,从建立和完善气候相关信息披露机制、将气候转型风险纳入金融机构全面风险管理框架、加强气候政策预期管理等方面提出相关政策建议。

“Climate risk will lead to financial risk”has become a global consensus of financial regulators.With the development and implementation of China’s carbon neutrality target and related action plan,it has become necessary for China’s financial management departments to assess and grasp the impact of climate transition risks on China’s financial stability.Using the method of stress test,this paper assumes that there are three pressure shock scenarios:tightening of carbon emission policy,progress of carbon emission reduction technology and a mixture of the two.And this paper calculates the overall impact degree of adverse scenario shock on China’s banking industry by using the improved total production function and the macro default rate model.The results of the stress tests show that:first,financial institutions will face great losses if a disruptive energy transition occurs;Second,effective and orderly government polices can prevent or mitigate the economic losses caused by the disruptive energy transition;Third,the disorderly transformation of the energy structure will cause financial institutions to face great losses in the short term and affect the whole economic and social development in the long term.On this basis,this paper gives relevant policy suggestions from the aspects of establishing and improving climate related information disclosure mechanism,integrating energy transition risks into the risk management framework of financial institutions,and strengthening the expectation management of climate policies.