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Sensitivitätsanalyse klimabezogener Transitionsrisiken des deutschen Finanzsektors
[Sensitivity analysis of climate-related transition risks in the German financial sector]

Author

Listed:
  • Schober, Dominik
  • Etzel, Tobias
  • Falter, Alexander
  • Frankovic, Ivan
  • Gross, Christian
  • Kablau, Anke
  • Lauscher, Pierre
  • Ohls, Jana
  • Strobel, Lena
  • Wilke, Hannes

Abstract

Klimabezogene Risiken aus der Transition zu einem CO2-armen Wirtschaftssystem können potentielle Verwundbarkeiten des Finanzsystems offenlegen. Wir entwickeln und beschreiben in diesem Artikel ein Instrumentarium zur Analyse dieser Risiken und wenden es auf das deutsche Finanzsystem an. Die Verwendung langfristiger, konsistenter Klimaszenarien, die im Rahmen der gemeinsamen Arbeiten des Network for Greening the Financial System (NGFS) entstanden sind, erlauben die Modellierung der Auswirkungen der Transition und die anschließende Abbildung in das Finanzsystem. Wir nutzen eine umfassende Datenbasis hinsichtlich der einbezogenen Finanzintermediäre und -instrumente und zeigen, dass sich die potentiellen Portfolioverluste aus einem unerwarteten Klimapolitikwechsel im Aggregat für die einzelnen Finanzsektoren im geringen bis mittleren einstelligen Prozentbereich bewegen. Einzelne Finanzintermediäre sind dabei stärker von Transitionsrisiken betroffen. Die Unsicherheit über die aktuellen Erwartungen der Marktakteure führt zu Ergebnissen, welche von den abgeleiteten potentiellen Portfolioverlusten um bis zu 40 % abweichen können.

Suggested Citation

  • Schober, Dominik & Etzel, Tobias & Falter, Alexander & Frankovic, Ivan & Gross, Christian & Kablau, Anke & Lauscher, Pierre & Ohls, Jana & Strobel, Lena & Wilke, Hannes, 2021. "Sensitivitätsanalyse klimabezogener Transitionsrisiken des deutschen Finanzsektors [Sensitivity analysis of climate-related transition risks in the German financial sector]," Technical Papers 13/2021, Deutsche Bundesbank.
    • Handle: RePEc:zbw:bubtps:283340
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    References listed on IDEAS

    as
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    Full references (including those not matched with items on IDEAS)

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    Cited by:

    1. D'Orazio, Paola & Hertel, Tobias & Kasbrink, Fynn, 2022. "No need to worry? Estimating the exposure of the German banking sector to climate-related transition risks," Ruhr Economic Papers 946, RWI - Leibniz-Institut für Wirtschaftsforschung, Ruhr-University Bochum, TU Dortmund University, University of Duisburg-Essen.

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    More about this item

    Keywords

    climate scenarios; climate transition risks; macroeconomic and financial impacts; financial stability analysis; sensitivity test; carbon pricing;
    All these keywords.

    JEL classification:

    • D53 - Microeconomics - - General Equilibrium and Disequilibrium - - - Financial Markets
    • E27 - Macroeconomics and Monetary Economics - - Consumption, Saving, Production, Employment, and Investment - - - Forecasting and Simulation: Models and Applications
    • H23 - Public Economics - - Taxation, Subsidies, and Revenue - - - Externalities; Redistributive Effects; Environmental Taxes and Subsidies
    • Q51 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Environmental Economics - - - Valuation of Environmental Effects
    • Q54 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Environmental Economics - - - Climate; Natural Disasters and their Management; Global Warming

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