Rationale and Design of a Scope 3 Capital Charge
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Rationale and Design of a Scope 3 Capital ChargeData
2023Resumo
[Abstract] Climate change is caused by greenhouse gas emissions, and governments have introduced
over seventy carbon pricing instruments (CPIs). Banks finance a significant fraction of
global emissions, and many have committed to reduce their facilitated, or Scope 3, emissions
to (net) zero by 2050. However, it is possible that governments will introduce a CPI impacting
banks on their Scope 3 emissions earlier. Here we design a Scope 3 capital charge to make
banks resilient against the possibility, albeit not certainty, that governments could introduce such
a Scope 3 CPI. Based on interest rate swaps, our numerical examples are financially significant for
counterparties with significant emissions. The contribution of this work is to provide a technical
basis for banks to be sufficiently resilient
Palabras chave
Emisiones de gases de efecto invernadero
Bancos-Informática
Swaps
Bancos-Informática
Swaps
Descrición
Cursos e Congresos, C-155
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Attribution 4.0 International (CC BY 4.0)