Research on the Contagion of Systemic Financial Risk Under the Impact of Climate Risks-From the Perspective of...

To systematically examine the impact of climate risks on China's financial system, this study employs the EGARCH-SGED model to precisely fit financial market volatility based on China's Climate Change News Index. It then combines the LASSO-CoVaR method to measure tail risk spillover effects within China's financial system under climate risk shocks, constructs a risk contagion network, and innovatively utilizes the RF-AdaBoost model to establish the risk early warning system. Findings reveal that climate risk is a key driver of dynamic correlation evolution within the financial system, with heterogeneous impacts across different markets. Physical climate risk events intensify short-term risk contagion while generating long-term effects; transition risks undergo a dynamic process, initially amplifying uncertainty before enhancing systemic stability over the long term. The RF-AdaBoost model outperforms traditional machine learning models in risk warning, demonstrating outstanding predictive accuracy and generalization capabilities, thereby providing effective intellectual support for climate risk prevention and financial stability management.