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Climate stress-test of the financial system related to syndicated loan market

Petersson, Mattias LU and Valentine, Max S LU (2024) NEKN02 20241
Department of Economics
Abstract (Swedish)
The purpose of this paper is to investigate the exposure to transition risk within the syndicated loan market under various scenarios. The target reductions, as presented in the Paris Agreement alongside notions of reducing negative impacts of climate change provide a rationale for investigating the topic. In the investigation, data consisting of 30858 (780) observations was utilized for the respective scenarios constructed. The results indicate that exposure to transition risk depends on the speed of transitioning. While a fast transition would induce severe losses to the most exposed banks, even a slow transition will result in non-negligible losses, which is exacerbated further by inherent industry exposures.
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author
Petersson, Mattias LU and Valentine, Max S LU
supervisor
organization
course
NEKN02 20241
year
type
H1 - Master's Degree (One Year)
subject
keywords
Transition risk, disaster risk, Paris Agreement, stranded assets, Monte Carlo simulation.
language
English
id
9157653
date added to LUP
2024-08-12 15:58:13
date last changed
2024-08-12 15:58:13
@misc{9157653,
  abstract     = {{The purpose of this paper is to investigate the exposure to transition risk within the syndicated loan market under various scenarios. The target reductions, as presented in the Paris Agreement alongside notions of reducing negative impacts of climate change provide a rationale for investigating the topic. In the investigation, data consisting of 30858 (780) observations was utilized for the respective scenarios constructed. The results indicate that exposure to transition risk depends on the speed of transitioning. While a fast transition would induce severe losses to the most exposed banks, even a slow transition will result in non-negligible losses, which is exacerbated further by inherent industry exposures.}},
  author       = {{Petersson, Mattias and Valentine, Max S}},
  language     = {{eng}},
  note         = {{Student Paper}},
  title        = {{Climate stress-test of the financial system related to syndicated loan market}},
  year         = {{2024}},
}