STGF climate stress testing model
Climate stress test is a forward-looking, tail-risk analysis and management tool, which is used to assess the degree of impact of an extreme or unexpected adverse event on a financial institution as a whole or its specific portfolio by assessing its impact on financial indicators such as asset quality, profitability, liquidity, etc.
Steps for conducting climate stress testing
STGF develops climate stress testing models for various financial institutions. The main steps to conduct a climate stress test are shown as follows:
Methodology for assessing the impact of rising carbon price on asset portfolios
We evaluate the impact of carbon prices on an asset portfolio under different scenarios from two dimensions: carbon value at risk (CVaR) and implied temperature rise (ITR). Carbon value-at-risk is used to estimate the ratio of a portfolio's carbon-related asset losses to its total asset value, while implied temperature rise is a temperature indicator that measures the warming potential of a company or a portfolio.
Climate stress test is a forward-looking, tail-risk analysis and management tool, which is used to assess the degree of impact of an extreme or unexpected adverse event on a financial institution as a whole or its specific portfolio by assessing its impact on financial indicators such as asset quality, profitability, liquidity, etc.
Steps for conducting climate stress testing
STGF develops climate stress testing models for various financial institutions. The main steps to conduct a climate stress test are shown as follows:
Methodology for assessing the impact of rising carbon price on asset portfolios
We evaluate the impact of carbon prices on an asset portfolio under different scenarios from two dimensions: carbon value at risk (CVaR) and implied temperature rise (ITR). Carbon value-at-risk is used to estimate the ratio of a portfolio's carbon-related asset losses to its total asset value, while implied temperature rise is a temperature indicator that measures the warming potential of a company or a portfolio.
