1、Association for Financial Markets in Europewww.afme.euA Common Path to Improve European Climate Risk Stress Testing and Scenarios AnalysisJune 2023DisclaimerAFMEs A Common Path to Improve European Climate Risk Stress Testing and Scenarios Analysis(the“Report”)is intended for general information only

2、 and is not intended to be and should not be relied upon as being legal,financial,investment,tax,regulatory business,or other professional advice.AFME does not represent or warrant that the Report is accurate,suitable,or complete and none of AFME,or its respective employees shall have any liability

3、arising from,or relating to,the use of this Report or its contents.Your receipt of this document is subject to paragraphs 3,4,5,9,10,11 and 13 of the Terms of Use which are applicable to AFMEs website(available at http:/www.afme.eu/en/about-us/terms-conditions)and,for the purposes of such Terms of U

4、se,this document shall be considered a“Material”(regardless of whether you have received or accessed it via AFMEs website or otherwise).June 2023ContentsContents1.Foreword 2Executive Summary 4Key Observations 62.Introduction 82.1 Context&background 82.2 Purpose of the report 82.3 How to read this re

5、port 93.Role of regulatory climate risk stress testing 103.1 Background on regulatory stress tests in Europe 103.2 EU regulatory outlook 123.3 Industry view on the future of supervisory climate risk stress testing 133.4 Link to internal climate stress tests 144.Key questions for developing common in

6、dustry standards for climate risk stress tests 164.1 Risks 164.2 Balance sheet coverage 174.3 Time horizons 194.4 Balance sheet evolution 224.5 Scenarios 235.Analytical capabilities banks will need to deliver on climate risk stress tests 315.1 Credit risk 315.2 Market Risk 345.3 Operational risk 355