加拿大：金融部门评估计划气候风险分析技术说明

FINANCIAL SECTOR ASSESSMENT PROGRAM TECHNICAL NOTE ON CLIMATE RISKS ANALYSIS ThisTechnical NoteonClimate Risk Analysiswas prepared by a staff team of theInternational Monetary Fund. It is based on the information available at the time it wascompleted onJuly 28, 2025. Copies of this report are available to the public from International Monetary Fund•Publication ServicesPO Box 92780•Washington, D.C. 20090Telephone: (202) 623-7430•Fax: (202) 623-7201E-mail:publications@imf.org Web:http://www.imf.org International Monetary FundWashington, D.C. CANADA FINANCIAL SECTOR ASSESSMENT PROGRAM TECHNICAL NOTE CLIMATE RISK ANALYSIS This Technical Note was prepared by IMF staff in thecontext of the Financial Sector Assessment Programin Country. It contains technical analysis and detailedinformation underpinning the FSAP’s findings andrecommendations. Further information on the FSAPcan be found athttp://www.imf.org/external/np/fsap/fssa.aspx PreparedByMonetary and Capital MarketsDepartment CONTENTS Glossary__________________________________________________________________________________________4 EXECUTIVE SUMMARY __________________________________________________________________________6 A.Physical Risks in Canada ______________________________________________________________________10B.Authorities’ Physical Risk Analysis _____________________________________________________________11C.Financial Sector Assessment Program Wildfire Exposure and Risk Analysis ___________________13 TRANSITION RISK ANALYSIS __________________________________________________________________38 A.Transition Risks in Canada ____________________________________________________________________38B.Authorities’ Transition Risk Analysis ___________________________________________________________39C.Financial Sector Assessment Program Transition Risk Analysis ________________________________40 References______________________________________________________________________________________59 FIGURES 1. Physical Risks _________________________________________________________________________________112. Wildfire Risk Framework and Data ____________________________________________________________153. Distribution of Residential Real Estate Secured Lending Portfolio of 7 Systemic Deposit TakingInstitutions Loan Amount Share by Province ____________________________________________________174. Wildland-Urban Interface _____________________________________________________________________185. Damage Functions ____________________________________________________________________________206. Wildfire Damages Allocation Across Sectors __________________________________________________217. Pass-Through Function of Wildfire Damages to Deposit Taking Institutions __________________238. Residential Real Estate Secured Lending Loan Amount in Census Subdivision over Total LoanAmount in Canada_______________________________________________________________________________269. Real Estate Secured Lending Loan Amount in Census Subdivision vs Fire Weather Index _____2810. Real Estate Secured Lending Loan Amount in Census Subdivision vs Buildup Index _________2911. Real Estate Secured Lending Loan Amount in Census Subdivision vs Fire Season Length____3012. Real Estate Secured Lending Loan Amount Distribution by Wildfire Risk Indicators__________3113. Fire Scenarios ________________________________________________________________________________3214. Wildfire Damages to Residential Real Estate _________________________________________________3315. Wildfire Risk Analysis Results ________________________________________________________________3416. Drivers of Damages by Provinces ____________________________________________________________3517. Pass-Through Rate Sensitivity Analyses ______________________________________________________3618. Damage Function Sensitivity Analyses _______________________________________________________3719. Wildland-Urban Interface Sensitivity Analyses _______________________________________________3720. Transition Risks ______________________________________________________________________________39 21. Integrated Micro-Macro Modeling Framework ______________________________________________4022. Transition Scenarios Macro Variables________________________________________________________4223. Transition Scenarios Sectoral Variables______________________________________________________4324. Sectors Emission Intensities__________________________________________________________________4525. Firms’ Characteristics at T0___________________________________________________________________4726. Banks Non-Financial Corporate Loans by Sector _____________________________________________5027. Firms’ Probability of Defaults Level Change__________________________________________________5228. Firms’ LGDs Level Change____________________________________________________________________5329. Firms’ Probability of Defaults and Loss Given Defaults