国际清算银行-将物理气候风险纳入银行信贷风险模型（英）-2025.7_37页_795kb

The Bank for International Settlements (BIS) working paper addresses the integration of physical climate risks into banks' credit risk modeling. Climate-related events, such as floods and hurricanes, pose systemic threats that indirectly affect banks through loan defaults and portfolio losses. Regulatory bodies like the Basel Committee and national authorities are increasingly requiring banks to incorporate these risks into their risk management policies, but a lack of standardized models has hindered progress.

The paper proposes extending the Vasicek model, a widely used framework for credit risk assessment, by adding a physical risk factor. This factor, modeled as a binary stochastic event with predefined probabilities and asset value jumps, maintains portfolio invariance, key for efficient capital allocation. The enhanced model can be applied to certain scenarios under Basel's internal ratings-based approach, aiding in capital requirements, loan pricing, and risk hedging via instruments like climate damage index swaps.

Further extensions, including multi-state models for variable risk scenarios, transition risks, and hedging strategies, demonstrate the model's versatility. The research underscores that while banks face challenges in data and modeling, this approach supports resilience and regulatory alignment by providing a statistically robust method for managing climate physical risks.