“Sizing the risks and raising the awareness: the contribution of the 2020 ACPR Climate Pilot Exercise”

Laurent Clerc presented the paper “Climate-Related Scenarios for Financial Stability Assessment: an Application to France” he co-authored with Thomas Allen,  Stéphane Dees, Jean Boissinot, Carlos Mateo Caicedo Graciano, Valérie Chouard, Annabelle de Gaye, Antoine Devulder, Sébastien Diot, Noémie Lisack, Fulvio Pegoraro, Marie Rabaté, Romain Svartzman, and Lucas Vernet. From the 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.