Climate-Related Scenarios for Financial Stability Assessment: An Application to France

68 Pages Posted: 21 Jul 2020

See all articles by Thomas Allen

Thomas Allen

Banque de France

Stéphane Dées

Banque de France

Carlos Mateo Caicedo Graciano

Banque de France

Valérie Chouard

Banque de France

Laurent Clerc

Banque de France

Annabelle de Gaye

Banque de France

Antoine Devulder

Banque de France

Sebastien Diot

Banque de France

Noëmie Lisack

European University Institute

Fulvio Pegoraro

Banque de France - Economics and Finance Research Center; CREST - Laboratoire de Finance et Assurance

Marie Rabate

Banque de France

Romain Svartzman

affiliation not provided to SSRN

Lucas Vernet

Institut d'Etudes Politiques de Paris (Sciences Po), Department of Economics, Students

Date Written: July 16, 2020

Abstract

This paper proposes an analytical framework to quantify the impacts of climate policy and transition narratives on economic and financial variables necessary for financial risk assessment. Focusing on transition risks, the scenarios considered include unexpected increases in carbon prices and productivity shocks to reflect disorderly transition processes.
The modelling framework relies on a suite of models, calibrated on the high-level reference scenarios of the Network for Greening the Financial System (NGFS). Relying on this approach, the ACPR has selected a number of quantitative scenarios to be submitted to a group of voluntary banks and insurance companies to conduct the first bottom-up pilot climate-related risk assessment.

Keywords: Climate Change, Scenario Analysis, Economic Modelling, Financial Stability

JEL Classification: : C60, E50, G32, O44, Q40, Q54

Suggested Citation

Allen, Thomas and Dées, Stéphane and Caicedo Graciano, Carlos Mateo and Chouard, Valérie and Clerc, Laurent and de Gaye, Annabelle and Devulder, Antoine and Diot, Sebastien and Lisack, Noëmie and Pegoraro, Fulvio and Rabate, Marie and Svartzman, Romain and Vernet, Lucas, Climate-Related Scenarios for Financial Stability Assessment: An Application to France (July 16, 2020). Banque de France Working Paper No. 774, Available at SSRN: https://ssrn.com/abstract=3653131 or http://dx.doi.org/10.2139/ssrn.3653131

Thomas Allen

Banque de France ( email )

Paris
France

Stéphane Dées (Contact Author)

Banque de France ( email )

Paris
France

Carlos Mateo Caicedo Graciano

Banque de France ( email )

31 rue Croix-des-Petits-Champs
Paris, 75001
France
+33142929650 (Phone)

HOME PAGE: http://https://www.banque-france.fr/

Valérie Chouard

Banque de France ( email )

Paris
France

Laurent Clerc

Banque de France ( email )

Paris
France

Annabelle De Gaye

Banque de France ( email )

Paris
France

Antoine Devulder

Banque de France ( email )

Paris
France

Sebastien Diot

Banque de France ( email )

Paris
France

Noëmie Lisack

European University Institute ( email )

No Address Available, Tuscany

Fulvio Pegoraro

Banque de France - Economics and Finance Research Center ( email )

31 rue Croix des Petits Champs
75049 Paris Cedex 01 France
France
00.33.(0)1.42.92.91.67 (Phone)
00.33.(0)1.42.92.48.18 (Fax)

CREST - Laboratoire de Finance et Assurance ( email )

15, Boulevard Gabriel Péri
Bureau 1112 - Timbre J320
92245 Malafokk Cedex France, 92245
France
00.33.(0)1.41.17.77.97 (Phone)
00.33.(0)1.41.17.76.66 (Fax)

HOME PAGE: http://www.crest.fr/pageperso/pegoraro/pegoraro.htm

Marie Rabate

Banque de France ( email )

Paris
France

Romain Svartzman

affiliation not provided to SSRN

Lucas Vernet

Institut d'Etudes Politiques de Paris (Sciences Po), Department of Economics, Students ( email )

28 rue des Saints Pères
Paris, 75007
France

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