The Impact of Climate Transition Risks on the Asset Pricing of Commercial Banks and the Construction of stress Test models

Abstract

Against the backdrop of global climate - change response and green - low - carbon transformation, the impact of climate transition risks on commercial banks' asset pricing is prominent, and there's a shift towards model construction. Based on the climate transition's risk transmission mechanism, this paper identifies key risk factors like carbon - intensive industries, green transition policies, and carbon price fluctuations, and constructs a multi - dimensional stress - test framework risk assessment system. Research shows that climate transition risks impact commercial banks' capital adequacy in asset pricing via credit default, asset impairment, etc., and data availability needs improvement. Green asset allocation and risk mitigation tools can hedge risks, yet full implementation can't be guaranteed. This research offers theoretical and practical support for regulatory authorities and financial institutions to conduct stress tests, optimize asset allocation, and enhance risk management. It expands commercial banks' asset pricing theory from a climate risk perspective, but the model's dynamic nature requires continuous improvement.

https://doi.org/10.65281/905192