Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: https://hdl.handle.net/10419/278282 
Erscheinungsjahr: 
2022
Schriftenreihe/Nr.: 
ECB Working Paper No. 2757
Verlag: 
European Central Bank (ECB), Frankfurt a. M.
Zusammenfassung: 
This paper develops a framework for the short-term modelling of market risk and shock propagation in the investment funds sector, including bi-layer contagion effects through funds' cross-holdings and overlapping exposures. Our work tackles in particular climate risk, with a first-of-its-kind dual view of transition and physical climate risk exposures at the fund level. So far, while fund managers communicate more aggressively on their awareness of climate risk, it is still poorly assessed. Our analysis shows that the topology of the fund network matters and that both contagion channels are important in its study. A stress test on the basis of granular short-term transition shocks suggests that the differentiated integration of sustainability information by funds has made network amplification less likely, although first-round losses can be material. On the other hand, there is room for fund managers and regulators to consider physical risk better and mitigate the second round effects it induces, as they are less efficiently absorbed by investment funds. Improving transparency and setting relevant industry standards in this context would help mitigate short-term financial stability risks.
Schlagwörter: 
climate finance
investment funds
systemic risk
stress testing
JEL: 
C62
G23
G17
Q54
Persistent Identifier der Erstveröffentlichung: 
ISBN: 
978-92-899-5469-3
Dokumentart: 
Working Paper

Datei(en):
Datei
Größe
3.88 MB





Publikationen in EconStor sind urheberrechtlich geschützt.