Credit risk transmission
Physical and transition shocks are linked to borrower revenues, collateral values and default probabilities, with identification stated.
GRA · Climate and Nature Financial Risk
Spatial financeWhere capital meets hazard, exposure and transition
Financial economics and macro-finance at Climate and Nature Financial Risk
Financial economics explains how risks are priced and transmitted through balance sheets and markets. On this platform it links climate and nature drivers to credit, market, underwriting and liquidity risk, and examines whether markets price them.
01Qeyd
Financial economics and macro-finance at Climate and Nature Financial Risk on the record.
Method recordSTEM method
- RêbazAboriya fînansî û makro-fînans
- ParêzvanAramiya darayî
- Applied inXetera fînansî ya avhewa û xwezayê
- Dane3 inputs
- Checks3 validation steps
- Canonical pageSTEM Commons
02Serlêdan
What financial economics and macro-finance does here.
Financial economics and macro-finance study how asset prices, credit and financial institutions interact with the real economy. They explain how shocks are amplified or absorbed through balance sheets and markets. In climate and hazards, biodiversity and nature and capital markets and investment, financial economics traces how physical, health or cyber shocks transmit to credit, sovereign debt and markets. It informs macroprudential policy and the pricing of risk. The canonical description is on the STEM Commons.
Market pricing studies
Bond spreads, equity returns and property prices are examined for evidence that climate risk is priced.
Cross-sector transmission
Interactions between insurance availability, bank lending and asset prices are analysed as feedback loops that cross sector boundaries.
03Çavdêrî bike
Econometric model.
The screen a team would use to follow this method: its measures, states and decisions. Names are examples and values are illustrative.
Econometric model
Climate and nature financial risk · Financial economics · Run R-0990
Estimates stableGRA · Climate and Nature Financial Risk
Estimates
robust standard errors
| Financed emissions | −0.32 | 0.04 | [−0.3, 0.4] | Erê |
| Exposure to high physical risk | 0.67 | 0.05 | [−0.6, 0.9] | Erê |
| Expected loss uplift, disorderly | 0.12 | 0.18 | [0.0, 0.9] | Na |
| Nature dependency materiality | 0.54 | 0.12 | [−0.1, 0.9] | Erê |
Method card
- Rêbaz
- Aboriya fînansî û makro-fînans
- Sample
- 10,098 obs
- Sêwirandin
- panel, fixed effects
- Nîşan
- MODELKIRÎ
Residuals by group
04Dane
What the method consumes.
Datasets and records used by financial economics and macro-finance on this platform, with the role each plays and the label its values carry. Sources are listed in the source register.
| Dane | Rol | Nîşan |
|---|---|---|
| Loan and collateral data | Credit exposure | Statîstîkên weşandî |
| Market prices | Pricing evidence | ÇAVDÊRÎKIRÎ |
| Disclosures | Exposure metrics | DECLARED |
05Scenario model
Transition and physical risk on a portfolio.
Three scenario families after the NGFS framework move a sector portfolio through carbon costs and warming damages; the transmission view follows the losses to lenders, investors, public finances and households. Scenario: named assumptions about the future, not a forecast.
Kontrol
- Carbon price at the horizon, orderly path
- 200 per tCO2
- Delay before a disorderly transition
- 50% of horizon
- Cost passed to customers
- 50%
- Warming today above pre-industrial
- 1.30°C
- Warming per decade, current policies
- 0.25°C
- Damage coefficient
- 0.24% per °C²
- Salên pêş
- 25 years
Xwendin
- Worst scenario at the horizon
- −33.6% of value
Jimar, rêbaz û çavkanî
| Sal | Orderly transition (% value) | Delayed, disorderly transition (% value) | Current policies (% value) |
|---|---|---|---|
| 0 | −0.38 | −0.38 | −0.38 |
| 3 | −2.87 | −0.53 | −0.67 |
| 6 | −5.36 | −0.68 | −0.97 |
| 9 | −7.84 | −0.84 | −1.27 |
| 12 | −10.33 | −0.99 | −1.57 |
| 15 | −12.82 | −7.12 | −1.87 |
| 18 | −15.31 | −15.05 | −2.17 |
| 21 | −17.80 | −23.00 | −2.48 |
| 24 | −20.29 | −30.94 | −2.79 |
Rêbaz
- Climate scenario families NGFS (2023), Climate Scenarios for central banks and supervisors, Phase IV
- Climate stress test of the financial system Battiston and others (2017), Nature Climate Change 7
- Damage function Nordhaus (2017), Revisiting the social cost of carbon, PNAS 114
- Transmission channels BCBS (2021), Climate-related risk drivers and their transmission channels
- Pankeya nediyarîyê (Monte Carlo ya parametreyan) Spiegelhalter, Pearson and Short (2011), Visualising uncertainty about the future, Science 333
- Hesasiyeta yek-yek (tornado) Saltelli and others (2008), Global Sensitivity Analysis: The Primer, Wiley
Dane
The model runs on the teaching values set by the controls. To calibrate it for a place, read it against these admitted layers and series, which this page’s map can draw:
- Dirêjahiyên bajarî Natural Earth
- Benderên behrê Natural Earth
- Past year, daily temperature (ERA5 via Open-Meteo) Open-Meteo.com (CC BY 4.0), Copernicus ERA5 (C3S/ECMWF) · register open-meteo.public-pages
- Surface air temperature, daytime (AIRS) NASA AIRS · register nasa.gibs.context-live-layers
Li seranserê şeş stûnan, bi pêşengiya Nexus Consortium
- Ceribandin Labs
- Hatiye avakirin di Climate and Nature Financial Risk in Foundry
- Tê ceribandin li Climate and Nature Financial Risk in Universe
- Hatiye kodkirin di Avhewa û pergalên Erdê di Standards de
- Hatiye weşandin di Climate and Nature Financial Risk in Reports
- Tê de tê dayîn Fakulteya Zanistên Erd û Jîngehê li Academy
06Erêkirin
How results are checked.
Models are back-tested against historical market episodes and crises. Results are compared with supervisory data and alternative specifications.
| Kontrol bikin | How it is done |
|---|---|
| Identification | Causal claims state how confounding was addressed |
| Robustness | Pricing results are checked across periods and markets |
| Data quality | Estimated inputs are labelled and their effect tested |
Relationships estimated in calm periods may break down in stress. Hidden leverage and interconnections are often unobserved.
07Îmzeya sektorê
Where exposure in Financial economics and macro-finance at Climate and Nature Financial Risk travels.
The sectors that carry exposure in Financial economics and macro-finance at Climate and Nature Financial Risk and how a loss in one passes to the others, across portfolios and public finances.
Goşeyan hilbijêre · li xetan bigere6 / 15 têkilî
Îmze
Cûrbecûrbûna jîndaran û hevkarên wê
Cûrbecûrbûna jîndaran tozkirin û axê dide xwarinê (0.6), rêkxistina hewzê avê dide avê (0.5) û derbasbûna zoonotîk û dermanan dide tenduristiyê (0.4).
W · E · I · F · H · B
- Sektor
- 4 ji 6
- Têkilî
- 6 ji 15
- Girêdan
- 0.46 para ji tevahiyê
Têkiliyên herî xurt ên di lîstikê de
- Xwarin → Cûrbecûrbûna jîndaran · veguherandina erdê0.6
- Av → Xwarin · avdan0.8
- Av → Cûrbecûrbûna jîndaran · herikên jîngehî0.6
- Xwarin → Tenduristî · xwarina saxlem0.7
08Connections
Topics that rely on this method.
09Exposure, loss and capital
What it means for exposure, loss and capital.
The exposure, loss, scenario and capital views a risk officer, supervisor or ministry of finance would ask for, with the frameworks they report against. Structures follow supervisory and actuarial practice. Values are illustrative: never prices, ratings or advice.
Scenario pathways
How Financial economics and macro-finance at Climate and Nature Financial Risk could be stressed under the scenario families central banks and supervisors use.
| Scenario family | Transition risk | Physical risk | What a stress test asks |
|---|---|---|---|
| Orderly | Early, gradual policy | Kêmtir | Can the book absorb a steady repricing? |
| Disorderly | Late, abrupt policy | Lower to medium | What breaks under a sudden repricing and credit migration? |
| Hot house world | Limited policy | High and rising | Where do physical losses concentrate in collateral and insurance? |
NGFS climate scenarios · Network for Greening the Financial SystemIFRS S2 Climate-related Disclosures · ISSBTCFD recommendations · Financial Stability Board TCFDPrinciples for the effective management of climate-related financial risks · Basel Committee on Banking Supervision
10Stewardship
Who maintains the method.
Aramiya darayî stewards financial economics and macro-finance for the Consortium and reviews how it is applied across platforms.
11Girêdayî
Ev rûpel li ser Konsorsiyûmê te ber bi kû ve dibe.
12Pirs
Pirs û bersiv.
What are the limits of financial economics and macro-finance in this field?
Relationships estimated in calm periods may break down in stress. Hidden leverage and interconnections are often unobserved.
How are results checked?
Models are back-tested against historical market episodes and crises. Results are compared with supervisory data and alternative specifications.
Are the values on this page real?
The data names, roles and checks are real descriptions of practice. The canvas shows a design of the method’s use, not a run; no result is reported here.
Where else is this method applied?
Çavdêrxaneya canonical method page lists every platform that applies it.
rêzeya Pergalên StratejîkTevkarî bike
Ji vê rûpelê delîl bidin.
rêzeya Pergalên Stratejîk is the Consortium’s quarterly publication. What you know about this subject can become evidence, a case or a correction in the next edition, credited to you and published under CC BY 4.0 where it is your own work.
Global Risks AllianceXetera fînansî ya avhewa û xwezayêAmadebûna fînans û sîgortayêSenaryo û ceribandina stresê
- E-nameGateway GW-GRAJi vê rûpelê bişîninDelîl, rastkirin, doz, rêbaz, nirxandin, wergerandin an têketina profîlê. Bi nîşana vê rûpelê digihîje, ji ber vê yekê edîtorê xwediyê wê wê bistîne.
- ZenodoDepoya vekirîWê razînin û ji civakê re bişîninTomara xwe li Zenodo bi ORCID iD ya xwe biweşînin, paşê wê li wir ji civaka Reports re bişînin. Kurator wê vedikolin; DOI ya we dimîne.
- rêzeya Pergalên StratejîkGlobal Risks AllianceHemû rêyên beşdariyê bibîneCureyên beşdariyê, her yek çawa tê nirxandin, tu çi navlêkirinê distînî, lîsans û tiştê ku qet nayê qebûlkirin.
Tu carî daneyên şexsî, hûrgiliyên binesaza hesas an tiştekî ku mafê we yê parvekirinê tune ne neşînin. Beşdarî berî bikaranînê tê nirxandin; şandina wê nivîskarî an mafên edîtorî nade û sponsorî tu carî encamekê nakire.
Xetera fînansî ya avhewa û xwezayê
Bring an exposure or capital question to the Alliance.
Agahî û pirs îro vekirî ne. Pirsek referansekê distîne û gava piştî wê dide nasîn; serlêdan, drav, veqetandina hesabkirinê û tomarkirin tenê dema ku tîm, mercên wê û kapasîteya vekolînê hebin vedibin.
Hiqûqî
Belgeyên hiqûqî.
Nexşe, dane û jimarên vê malperê ji bo çarçoveyê û agahiyên giştî têne nîşandan. Ew ne şîret, ne pêşbînî û ne hişyarî ne; sînorên agahiyê di Daxuyaniyên Berpirsiyariyê û Daxuyaniyên Daneyê de hatine diyarkirin.