Climate-related risk stress testing in the Russian banking sector under NGFS scenarios

Published: 28 November 2022| Version 1 | DOI: 10.17632/bhrn8xsv2k.1
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Description

The database focuses on the impact of climate on countries' economic development under different scenarios, including the impact of climate risks on the financial stability of systemically important credit institutions in the transition to a carbon-neutral economy. In particular, the objective of our study was to conduct a climate stress test of the largest Russian banks. The study's objectives therefore included: identifying climate risk and approaches to its classification; analysing the ecological condition of economic territories and the structure of corresponding greenhouse gas emissions; analysing baseline scenarios for the transition to a low-carbon economy proposed by the NGFS; assessing the impact of climate factors on environmental and economic indicators in terms of the proposed scenarios; conducting stress-testing of the analysed banks; and expert evaluation of the carbon-beta index of three major Russian banks. As a result of the study, the environmental conditions in the US, Russia and 15 European countries and the impact of environmental factors under the three main NGFS scenarios on the main economic and environmental indicators of these economic territories were assessed. In addition, stress testing of the resilience to climate change of three systemically important Russian banks was carried out, an assessment of the impact of environmental factors on the profitability of the analysed banks was substantiated, the carbon-beta index was adapted for these banks, and recommendations for the ESG-transformation of their businesses were developed.

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Steps to reproduce

The following steps were carried out as part of the research: definition of climate risk and approaches to its classification; analysing the ecological condition of economic territories and their respective greenhouse gas emission patterns; analysing the baseline scenarios for the transition to a low-carbon economy proposed by the NGFS; assessment of the impact of climate factors on environmental and economic performance in terms of the proposed scenarios; stress-testing of the analysed banks using econometric modelling; expert assessment of the carbon-beta index of three major Russian banks.

Institutions

Sankt-Peterburgskij gosudarstvennyj universitet

Categories

Applied Sciences, Social Sciences

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