Pricing climate transition risk in the banking book : A Scope 3 capital pass-through approach
銀行貸出における気候移行リスクの価格設定：スコープ3資本パススルーアプローチ (AI 翻訳)
Marina Palaisti
🤖 gxceed AI 要約
日本語
本論文は、銀行の貸出ポートフォリオに気候移行リスクを価格設定する手法を提案する。PCAF基準に基づくスコープ3排出量を組み込み、気候ポリシー資本を資本賦課金として計算し、金利スプレッドに変換する。Rフレームワークで実装され、融資担当者やリスク管理者が透明かつ一貫した方法で移行リスクを融資価格に反映できる。
English
This paper proposes a methodology to embed climate transition risk into banking book loan pricing, using Scope 3 emissions and PCAF attribution. It adapts climate policy capital concepts from trading books to amortizing loans, computing a loan-level climate premium as an incremental capital charge converted into an interest rate spread. Implemented in a simple R framework, it provides borrower-specific premia and portfolio views, enabling transparent and scenario-consistent integration of transition risk into loan pricing and funds transfer pricing.
Unofficial AI-generated summary based on the public title and abstract. Not an official translation.
📝 gxceed 編集解説 — Why this matters
日本のGX文脈において
日本の銀行はSSBJや有報での気候関連開示が進む中、本手法は融資ポートフォリオにスコープ3排出量と気候リスクを織り込む実務的枠組みを提供する。金融庁の気候変動シナリオ分析や日本銀行の気候対応オペレーションとも連動し得る。
In the global GX context
This paper contributes to the global discourse on transition finance by operationalizing the PCAF standard and Scope 3 capital charges into bank loan pricing. It aligns with TCFD, ISSB, and the broader climate risk management agenda, offering a practical tool for financial institutions worldwide to manage transition risk.
👥 読者別の含意
🔬研究者:This paper provides a rigorous capital-based framework linking Scope 3 emissions to loan pricing, useful for researchers in climate finance and banking.
🏢実務担当者:Banks can use the presented R framework to compute borrower-specific climate premia and integrate transition risk into loan pricing and funds transfer pricing.
🏛政策担当者:Regulators can leverage this methodology to understand how capital requirements can transmit climate policy into lending spreads, informing prudential policy.
📄 Abstract（原文）
This paper proposes a capital-based pricing methodology for banking book loans that embeds Scope 3 emissions and the Partnership for Carbon Accounting Financials (PCAF) attribution standard into a practical transition risk framework for banks. Building on the Scope 3 capital design model of Trevisani et al.,1 the paper adapts the future carbon policy exposure, Climate-Policy-Risk-Weighted-Assets, and climate policy capital (CPC) concepts from trading book derivatives to amortising loan exposures. It shows how a bank can compute a loan-level climate premium by applying CPC as an incremental capital charge to individual facilities and converting it into an interest rate spread via a simple pass-through rule. The framework incorporates financed-emissions attribution in line with PCAF guidelines2,3 and is implemented in a simple, self-contained R framework that produces borrower-specific premia and portfolio views. The resulting tool allows risk managers to integrate climate transition risk into loan pricing and funds transfer pricing in a transparent, scenario-consistent, and operational way, thereby helping institutions prepare their balance sheets for the impact of future climate policy. This article is also included in The Business & Management Collection which can be accessed at https://hstalks.com/business/.
🔗 Provenance — このレコードを発見したソース
- semanticscholar https://doi.org/10.69554/mbhl8731first seen 2026-07-04 05:17:57
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