Weathering the storm: How climate risks shape bank credit risk in European banks

被引：0

作者：

Bellinvia, Adriano ^{[1
]}

Venturelli, Valeria ^{[1
,4
]}

Brighi, Paola ^{[2
,4
]}

Algeri, Carmelo ^{[3
]}

机构：

[1] Univ Modena & Reggio Emilia, Dept Econ Marco Biagi, Via Jacopo Berengario 51, I-41121 Modena, Italy

[2] Univ Milan, Dept Law Cesare Beccaria, Via Festa Del Perdono 7, I-20122 Milan, Italy

[3] Univ Bologna, Sch Econ & Management, Dept Management, Via Capo Lucca 34, I-40126 Bologna, Italy

[4] Univ Modena & Reggio Emilia, CEFIN Ctr Banca & Finanza, Dept Econ Marco Biagi, Viale Jacopo Berengario 51, I-41121 Modena, Italy

来源：

FINANCE RESEARCH LETTERS | 2025年 / 81卷

关键词：

Climate transition risk; Climate physical risk; Climate risk; Credit risk; European banks;

D O I：

10.1016/j.frl.2025.107511

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

This paper investigates the impact of climate risk on banks' credit risk. Using a sample of 102 banks across 21 countries in the European Economic Area (EEA) from Q3 2019 to Q2 2023, we develop a novel approach to quantifying climate risk based on banks' loan exposures to industries and countries. Our findings indicate that climate transition risk (CTR), climate physical risk (CPR), and total climate risk (CR) significantly increase banks' credit risk. These results hold across alternative credit risk measures, offering valuable insights for financial institutions, policymakers and regulators.

引用

页数：9

共 25 条

[1] Improving Drought Modeling Using Hybrid Random Vector Functional Link Methods [J].