Climate change
Physical climate risk threatens 15% of EU banks’ property loans
Erste, Helaba, BPCE most exposed to chronic and acute risks linked to climate change
US banks seek to open vendors’ black box on green data
Inaugural Fed climate scenario analysis flags lack of transparency around third-party models
False start: 13 EU banks miscalculate new GAR coverage metric
Unclear instructions, late guidance and poor font choices among reasons behind diverging interpretations from EBA’s template
First green asset ratios come in low as EU banks protest methodology
ABN Amro only bank to break double digits in a sample of 23 lenders
EU banks fear green asset ratios paint an unfair picture
Industry lobbyist clashes with lawmaker over usefulness of new sustainability disclosure
Hot topic: SEC climate disclosure rule divides industry
Proposal likely to flounder on First Amendment concerns, lawyers believe
Tall order: why a unified op risk taxonomy is still elusive
Banks vary in how they classify operational risk losses – and regulators are in no rush to change the status quo
The carbon equivalence principle: minimising the cost to carbon net zero
A method to align incentives with sustainability in financial markets is introduced
Navigating technology integration in an altered buy-side risk landscape
Luke Armstrong discusses the expanding role of buy-side risk teams, the comprehensive integration of risk factors and how technology can help risk managers navigate a dynamically shifting risk landscape
Growing regulatory focus fuels climate risk staffing fight
Widespread poaching as banks find repurposing existing quants may not provide the right expertise
US climate guidance stokes debate over defining material risks
Banks welcome flexibility, but it could lead to big divergence on climate risk management
Quant shop preps NLP-powered index for physical climate risk
Sharp rise in extreme weather events prompts PGIM Quant to aim for better climate-risk pricing
Climate capital in the balance as EBA rejects green risk weights
European regulator suggests climate change must be factored into existing risk categories
Assessing the importance of liquidity and climate risk in an evolving risk landscape
In a Risk.net webinar sponsored by S&P Global Market Intelligence, five experts discussed the challenges that evolving risks pose and how the buy side is having to adapt its approach. This article examines the key themes that emerged from that discussion
Climate risk overlays unnerve model-validation teams
Risk Live: Model risk managers fear they lack the data or skills to properly test expert judgement
Degree of influence 2023: Quants thrive on volatility
Climate, crypto and market impact also featured among the top research topics in 2023
Tail sensitivity of stocks to carbon risk: a sectoral analysis
The authors investigate the tail sensitivity of US industry returns in relation to changes of carbon-driven climate risk, finding that tail sensitivities rise with the greenhouse has emissions of an industry.
The role of a green factor in stock prices: when Fama and French go green
The authors propose a means to capture climate change risk exposure by combining a green factor with typical frameworks used for explaining stock returns.
How to account for banks’ contribution to CO2 emissions
Price adjustments will depend on individual counterparties’ carbon footprints
UN climate risk chief calls for shorter-term stress tests
But banks say heavy modelling demands will take time to respond to adequately
Estimating the impact of climate change on credit risk
The author investigates the relationship between climate change and credit risk characteristics of individual obligors and portfolios of credit obligations.