Research On Climate Transformation Risk Stress Testing Of Commercial Banks In China Under The Background Of Carbon Reduction

On September 22,2020,China announced the "double carbon" goal at the United Nations General Assembly.Under the "double carbon" goal,the implementation of carbon emissions trading policy is an effective measure to limit carbon emissions in China.China has introduced the carbon emissions trading mechanism for ten years.From the perspective of the pilot scope,the implementation of the carbon trading policy has indeed reduced carbon emissions.However,while achieving the goal of carbon emission reduction,the carbon trading policy may cause financial assets,especially commercial bank loans,to face the risk of climate change.In the future,Chinese carbon market will continue to tighten,and the risks of climate transformation faced by commercial banks’ loans may increase.Therefore,it is necessary to study and measure the impact of climate transformation risks on commercial banks,so that commercial banks can identify the risks they may face as soon as possible and avoid losses in time.Combined with the characteristics of climate transition risk and the existing literature,this paper selects the stress test method as the main research method.The details are as follows: Select the loan amount of state-owned commercial banks and joint-stock commercial banks to climate transition sensitive industries at the end of2021 as the pressure object,select carbon trading as the pressure factor,and use the price of carbon emission rights between 2022 and 2030 as the pressure indicator to carry out climate transition risk stress test to assess the impact of climate transition risks on the loan market value of China’s commercial banks.The test results show that:(1)The marginal increase in the risk of climate change faced by commercial banks when the price of carbon emissions increases;(2)The climate transformation risks brought by carbon trading faced by state-owned commercial banks and joint-stock commercial banks are heterogeneous;(3)Emission reduction technology,carbon price transfer and low environmental policy intensity can offset the losses caused by climate change risks;(4)Under pressure scenarios,loan losses caused by climate change risks in joint-stock commercial banks can be covered by their loan loss reserves,while state-owned commercial banks have more losses and insufficient loss reserves,which need to be further offset core tier-one capital.According to the research results,this paper puts forward corresponding suggestions from the three levels of commercial banks,high-carbon enterprises and government.Commercial banks should establish and improve climate risk management mechanisms as soon as possible,adjust their asset structure,conduct climate risk stress tests in due course,dynamically adjust loss reserves based on the test results,and state-owned banks should play a leading role in the above exploration and adjustment process;High carbon enterprises should start with development strategies and talent cultivation to achieve carbon emission reduction targets at the lowest cost possible;Government departments should adapt measures to industry when formulating carbon emission reduction plans,and vigorously support research and development of emission reduction technologies.