Climate risk analysis and supervision Scenarios and main assumptions of the ACPR pilot climate exercise
The ACPR is launching its climate pilot exercise.
This is an unprecedented and ambitious exercise, the objective of which is to make French banking and insurance establishments aware of the risks linked to climate change. It aims in particular at measuring the risks, both physical and transitional, to which establishments are exposed, by 2050. The exercise also has a methodological dimension as it seeks to identify the difficulties encountered in the conduct of this type of exercise (absence or incomplete nature of the data, limits or inadequacies of the models, etc.). This exercise mobilizes the main French banking and insurance groups. The delivery date is scheduled for the end of 2020.
The publication includes:
A main document, which presents the scenarios and the main assumptions used for this exercise. This document is an update of the provisional hypotheses for the climate pilot exercise, posted online on the website of the French Prudential Supervisory Authority (ACPR) on May 25 and subject to public consultation until 19 June 2020. It takes into account in particular: the macroeconomic projections of the Eurosystem, published on June 4, 2020, which provide a first measure of the impact of the health crisis and which affect the start of the pilot exercise; the transition scenarios published on June 24, 2020 by the NGFS (Network for Greening of Financial System), the network of central banks and supervisors for the greening of the financial system; a review of certain technical parameters and assumptions; finally, taking into account several remarks or comments made by financial institutions participating in the exercise or received from associations, "think tanks" or non-governmental organizations (NGOs) during the consultation phase.
A set of technical guides, the dataset containing all the macroeconomic and financial data and assumptions as well as the templates for banks and insurance companies. All the documents are available (in French) at the following link.
In addition, the Banque de France just released a working paper presenting the analytical framework developed especially for this pilot exercise, which was used to generate the variables and transition scenarios. This document is available at the following links:
Scénarios de transition climatique
Climate related scenarios financial stability assessment
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- Published on 07/17/2020
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Updated on: 01/06/2021 12:29