Austrian banks’ exposure to climate-related transition risk

Stefano Battiston (), Martin Guth (), Irene Monasterolo (), Benjamin Neudorfer () and Wolfgang Pointner ()
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Stefano Battiston: University of Zurich, Department of Banking and Finance
Martin Guth: Oesterreichische Nationalbank, Supervision Policy, Regulation and Strategy Division
Irene Monasterolo: Vienna University of Economics and Business
Benjamin Neudorfer: Oesterreichische Nationalbank, Financial Markets Analysis and Surveillance Division
Wolfgang Pointner: Oesterreichische Nationalbank

Financial Stability Report, 2020, issue 40, 31-44

Abstract: Climate change poses several risks to the value of financial assets and to financial stability. In this study, we estimate the exposure of the Austrian banking sector to climate risks that might arise from a disorderly transition to a carbon-neutral economy. To this end, we identify climate policy-relevant sectors (CPRSs), i.e. sectors which are particularly sensitive to these transition risks, and match that information with granular data of outstanding credits and bonds held by Austrian banks. We find that the Austrian banking sector’s direct exposure to CPRSs is comparable with banks’ exposure in other countries and relevant to financial supervision. As some banks are particularly exposed to climate transition risk, both banks and supervisors should take this risk seriously and monitor it closely.

Keywords: climate change; credit risk; risk management (search for similar items in EconPapers)
JEL-codes: G18 G32 Q54 (search for similar items in EconPapers)
Date: 2020
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Citations: View citations in EconPapers (1)

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