We analyze the effects on financial stability of the interplay between climate transition risk and market conditions, such as recovery rate and asset price volatility. To this end, we extend the framework of the climate stress-test of the financial system by including an ex-ante network valuation of financial assets which accounts for asset price volatility as well as for endogenous recovery rate on interbank assets. Moreover, we also consider the dynamics of indirect contagion of banks and investment funds, which are key players in the low carbon transition, via exposures to the same asset classes. We derive some analytical results and we apply the model to a unique supervisory dataset in a range of climate policy scenarios and market conditions. In the event of a disorderly low-carbon transition, stronger market conditions allow to reach more ambitious climate policies at the same level of financial risk.

我们分析了气候变化风险和市场状况（例如回收率和资产价格波动）之间相互作用对金融稳定性的影响。为此，我们通过对金融资产进行事前网络评估来扩展金融系统的气候压力测试框架，以评估资产价格的波动性以及银行间资产的内生回收率。此外，我们还考虑了银行和投资基金间接传染的动态，这是低碳转型的关键参与者，它们通过暴露于相同资产类别而受到影响。我们得出一些分析结果，并将该模型应用于一系列气候政策情景和市场条件下的唯一监管数据集。如果发生低碳过渡，