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Modelling of the impact of physical and transition risk on banks’ solvency

An R&D programme conducted in partnership with ENSAI.


Climate risk has now been clearly identified as a risk to be taken into account in banks’ capital requirements.


This R&D project aims to improve the integration of climate risks into the macroeconomic scenarios used for stress testing.


The research programme proposes a new mathematical approach for incorporating climate risk into the macroeconomic parameters used in stress testing exercises. This approach innovatively suggests a fresh method of incorporating climate risk into these macroeconomic parameters.
The development of statistical and mathematical models makes it possible to estimate the impact on banks’ solvency and on the calculation of their capital requirements to cover the risks induced by climate change.




Guillaume Flament (Ph.D. researcher)

Guillaume Flament (Ph.D. researcher)

After graduating from ENSAI, Guillaume completed a Master’s degree in fundamental mathematics at the University of Rennes 1. Guillaume joined ENSAI’s doctoral programme and began a CIFRE thesis at the Square Research Center, affiliated to the ENSAI laboratory, under the supervision of Valentin Patilea.

  • « Flament, G. (2023). Impact of the energy transition on long-term factor productivity. Structural Change and Economic Dynamics.
  • Lajaunie, Q., Flament, G., Hurlin, C., & Lajaunie, M. Q. (2023). Package ‘matrisk’.
  • Lajaunie, Q., Flament, G., Hurlin, C.. (2023). , The at-Risk approach: a new tool for macroprudential and microprudential stress tests
  • « Guerre en Ukraine : un avant-goût du risque de transition ? », Le Monde, Lesechos, 22/09/2022 par Daymier, S. et Flament, G.
  • « Energie : Le défi principal est de savoir comment les humains vont réduire leur consommation d’énergie d’ici à 2050  », Le Monde, 17/11/2021 par Campi, M. et Flament, G.


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