PROCHAIN ÉVÉNEMENT

Mercredi 7 Décembre 2022, 10h00 - 11h30  

Antoine Mandel (PSE-CES, Université Paris 1) présentera :

“ A climate credit risk model: a structural approach ”

Abstract: We introduce a structural model to assess the climate transition risk associated to portfolios of corporate bonds and equity shares, conditioned to climate scenarios, such as those developed by the Network for Greening the Financial System (NGFS).We translate forward-looking economic trajectories developed by process-based Integrated Assessment Models into adjustments in the valuation of financial securities issued by counterparties in economic sectors that are relevant for transition risk. Importantly, we consider the composition of firm’s revenues from high and low-carbon activities and how they will be affected would specific orderly or disorderly transition scenarios materialize. The adjustment in equity share value, default probabilities, loss-given-default and expected value of the bond depends thus on the interplay between the scenario and the technological profile of the issuer. We illustrate the outcome of the methodology on a sample portfolio of securities. Our approach is science-based, transparent and replicable. It contributes to fill an existing gap in the financial literature, thus contributing to strengthen climate credit risk modelling. This, in turn, is crucial for central banks and financial supervisors, being credit ratings a relevant part of the information set for both monetary policy implementation and reserve management purposes.

Attention, ce séminaire aura lieu à 10h00 au lieu des 10h30 habituelles.

Le séminaire aura lieu en mode hybride (le séminaire se tiendra à l’ACPR : 4 Pl. de Budapest, 75009 Paris avec possibilité de suivre en distanciel).

L’inscription (gratuite) est obligatoire (pour les 2 modes de participation) par mail à chaireACPR@acpr.banque-france.fr

Si vous optez pour le mode visio, le lien de connexion vous sera envoyé prochainement.

- Pour nous contacter

DERNIER ÉVÉNEMENT

Mercredi 9 novembre 2022, 10h30 - 12h00  

Simon Mayer (HEC Paris) présentera :

“ The Risk of Safe Asset Creation ”

Abstract : Many financial intermediaries issue money-like, safe liabilities against risky asset holdings, effectively engaging in safe asset creation and earning convenience and safety premia. In this paper, we model safe asset creation by an intermediary with risky asset holdings, whereby the risk and safety of an intermediary's liabilities endogenously vary with its net worth. The intermediary controls safety creation both on the extensive and intensive margin, in that it can either issue few, relatively safe assets or more assets that are comparatively less safe. When net worth is high, intermediary liabilities are safe and the intermediary earns high safety premium to further grow its net worth and improve safety of its liabilities, causing a virtuous cycle. When net worth is low, intermediary liabilities become risky and their value fluctuates with shocks to assets, which reduces the intermediary's earnings and its balance sheet risk. Their riskiness reduces the safety premium of intermediary liabilities, curbs net worth growth, and dynamically reduces safety further, causing a vicious cycle. The stationary distribution of net worth is bi-modal, and features a persistent instability trap for intermediary liabilities in states of low net worth. A volatility paradox arises: The safety of intermediary liabilities might increase with the volatility of asset holdings. We then evaluate how regulation (e.g., capital requirement) affects intermediaries' safe asset creation. Our model can be used to study and to assess the risks of different types of financial intermediaries, including banks, shadow banks, or stablecoin issuers.

Attention, ce séminaire aura lieu en mode hybride (le séminaire se tiendra à l’ACPR : 4 Pl. de Budapest, 75009 Paris avec possibilité de suivre en distanciel)

L’inscription (gratuite) est obligatoire (pour les 2 modes de participation) par mail à chaireACPR@acpr.banque-france.fr

Si vous optez pour le mode visio, le lien de connexion vous sera envoyé prochainement

- Pour nous contacter

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