The Impact Of Climate State Change On Banking Systemic Risk

With the accelerating process of climate change,climate change has become a major challenge facing the international community.The risk of climate change is a problem that all mankind must face up to.In the future,climate warming will continue to aggravate global risks,lead to changes in systemic risks,and have a profound impact on global development.As an important part of the economy and society,the financial industry inevitably faces the systemic risk brought by climate change.The price fluctuation of securities assets and credit assets brought by the impact of climate events on the real economy makes the commercial banking industry one of the most affected sectors in the financial industry.In the case of drastic climate change,it is an urgent issue for commercial banks to strengthen their own risk management to deal with climate change risk.This thesis discusses the impact of climate change risk on banking systemic risk from theoretical as well as empirical perspectives.Through the research and carding of relevant literature,this thesis first analyzes the transmission mechanism of climate change risk on Banking Systemic Risk and the impact mechanism of bank risk taking,and obtains the preliminary theoretical analysis conclusion.Then,based on the quarterly panel data of 16 listed commercial banks in China,the Conditional Value at Risk(Co Va R)is used as the systemic risk measurement index of banks,and the climate state variable is used as the risk measurement index of climate change in the short term.Based on the quarterly panel data of 16 listed commercial banks in China,the random effect model is established,and then two intermediary variables,namely asset volatility level and non-performing loan ratio,are used to carry out the model The mediating effect was tested.In addition,in order to further study the differences of different types of listed commercial banks,this thesis further divides the samples into state-owned commercial banks and non-state-owned commercial banks,and tests and analyzes the intermediary effect.This thesis obtains the following empirical results:(1)there is an obvious negative correlation between climate change and bank systemic risk level.The greater the fluctuation of climate state is,the higher the level of banking systemic risk is.Among them,under the same climate change conditions,the negative impact of non-state-owned commercial banks is greater than that of state-owned commercial banks.(2)Asset volatility and non-performing loan ratio are important ways for climate change to affect banking systemic risk.Climate change affects the fluctuation level of securities assets held by banks and the non-performing loan ratio of credit assets,which leads to the increase of risk level of individual banks in the system with the increase of climate fluctuation.When the systemic risk of a single bank accumulates to a certain extent,it may lead to systemic risk events of the whole banking industry.(3)For state-owned commercial banks,asset fluctuation level and nonperforming loan ratio play a complete mediating effect in the process of banking systemic risk.This thesis argues that these two mediating variables play a role through the path of "climate state change—asset fluctuation—credit risk—systemic risk",and the risk brought by climate change completely passes through Credit risk channels,rather than market risk channels,are transmitted to banks.The intermediary effect of asset volatility level of non-state-owned commercial banks is not significant,while the non-performing loan ratio shows partial intermediary effect.This is because non-state-owned commercial banks pay more attention to ESG investment,avoid the impact of securities asset fluctuation level on their asset side and cause systemic risk,and their credit business diversification features better disperse from climate change So that the impact of climate change will not come from the credit channel.Finally,according to the research conclusions,this thesis puts forward countermeasures and suggestions from the perspective of banks themselves.First,commercial banks should further enhance their awareness of climate change risks,recognize the risks and opportunities brought by climate change,and pay attention to climate change and sustainable development at the strategic level.Second,commercial banks should attach more importance to the concept of environment,society and corporate governance(ESG),establish Climate Investment and financing strategy,promote bank investment more conducive to sustainable development,and drive the development and transformation of climate friendly enterprises.Third,commercial banks should adjust their business mode,optimize the structure of credit assets,actively respond to climate change risks,avoid excessive concentration of credit assets in climate change sensitive industries,and pay attention to decentralized management.Finally,commercial banks should pay attention to the impact of climate change on the operational mechanism of banks,incorporate the risk of climate change into its risk management framework,establish and improve the risk management system and various risk management policies.