适合55种气候情景分析

S Contents List of tables2List of figures3List of boxes5Abbreviations71.Executive Summary102.Introduction173.Banking sector214.Insurance and IORP sectors345.Investment funds466.Cross-sectoral amplification effects547.Conclusions61Appendix I: Credit risk methodology and further results64Appendix II: Market risk methodology72Appendix III: Cross-sectoral methodology and further results79 List of tables Table 1:Summary of the results of the exercise...................................................................................16Table 2: Assets in the scope of the simulation held by EU-domiciled funds.........................................49Table 3: Categories per shocks from the ESRB......................................................................................75Table 4:Price impact parameter boundaries across scenarios.............................................................79 List of figures Figure 1: Total losses relative to exposures in scope by sector............................................................16Figure 2: EU aggregate green investment needs by sector over the period 2022-2030......................20Figure 3: Evolution of the EU aggregate energy mix over time............................................................20Figure 4: Gross value added shocks by sector and source of impact....................................................20Figure 5: Evolution of EU/EEA banks’ asset composition, from December 2021 to March 2024........22Figure 6: Growth in loans and advances by segment, December 2021 to March 2024.......................22Figure 7: Credit risk coverage: comparison with total loans in FINREP................................................23Figure 8: Credit exposures to NFCs by counterparty sector and aggregate brown energy intensity...23Figure 9: Market risk coverage: comparison with total FINREP fair value book...................................23Figure 10: Fair value by asset class as of 31 December 2022...............................................................23Figure 11: Aggregate credit and market risk losses..............................................................................26Figure 12: Aggregate credit losses 2023-2030 as a share of exposures/total assets in 2022...............27Figure 13: Credit risk losses by year, scenario and source of impact....................................................27Figure 14: Aggregate credit losses and change in PDs, by sector.........................................................29Figure 15: Distribution of bank-level losses..........................................................................................29Figure 16: Market risk losses by asset class..........................................................................................30Figure 17: Market risk losses by asset class vs. share of assets in scope..............................................30Figure 18: Dispersion of market risk losses across banks.....................................................................30Figure 19: Loan volume to the NFC sector–bank-level distribution....................................................31Figure 20: GDP growth..........................................................................................................................31Figure 21: Amplification effect under the adverse scenarios...............................................................31Figure 22: New loans to NFCs, grouped by energy intensity of sectors under B and A1......................32Figure 23: Green transition investment needs as a percentage of NFC lending...................................32Figure 24: Share of investments by insurers in green bonds relative to corporate bonds...................35Figure 25: EU Taxonomy alignment and eligibility of equity and corporate bond holdings for IORPs.35 4Figure 26: Insurers’ and IORPs’ investment portfolio...........................................................................36Figure 27: Insurers’ and IORPs’ investment portfolio with look-through into CIUs..............................36Figure 28: Insurers’ investment portfolio by type of undertaking........................................................37Figure 29: IORPs’ investment portfolio by type of IORP.......................................................................37Figure 30: Direct investments towards equity and corporate bonds issued by non-financial firms....37Figure 31: Losses for insurers and IORPs...............................................................................................39Figure 32: Losses by asset class for insurers and IORPs........................................................................39Figure 33: Losses by type of business for insurers................................................................................40Figure 34: Losses by type of business for IORPs....................................................................................40Figure 35: