A climate stress-test of the financial system

Stefano Battiston1 , Antoine Mandel2 , Irene Monasterolo3 , F. Schütze4 ,

and Gabriele Visentin1
1
Department of Banking and Finance, University of Zurich
2
Paris School of Economics, University Paris 1 Pantheon-Sorbonne
3
Boston University
4
Global Climate Forum

July 12, 2016

The urgency of estimating the impact of climate risks on the financial sys-
tem is increasingly recognised among scholars and practitioners. However,
traditional risk analysis is inadequate to deal with the intrinsic uncertainty of
model estimates of the effects of climate policies and calculations of expected
losses/gains can be largely inaccurate. Here, we take a different approach
based on the network analysis of the exposures of financial actors to all climate-
relevant sectors. Using empirical data of the Euro Area, we show that while
direct exposures to the fossil fuel sector are small (3-12%), the combined expo-
sures to climate-policy relevant sectors are large (40-54%), heterogeneous, and
possibly amplified by indirect exposures via financial counterparties (30-40%).
Our results suggest that climate policies could result in potential winners and
losers across financial actors and would not have adverse systemic impact as
long as they are implemented early on and within a stable framework.

Assessing the impact of climate risks and climate policies on the financial system is
currently seen among the most urgent and prominent societal issues (Carney, 2015; ESRB
Advisory Scientific Committee, 2016). In particular, there is a debate on whether the im-
plementation of climate policies to meet the 1.5 ◦C COP21 agreement generates systemic
risk or, instead, opportunities for low-carbon investments and economic growth. However,
data are scarse and there is no consensus on the appropriate methodologies to use. The
magnitude of so-called stranded assets of fossil fuel companies (in a 2 ◦C economy) has
been estimated to be around 82% of global coal reserves, 49% of global gas reserves and

1
33% of global oil reserves (McGlade and Ekins, 2015). Moreover, several studies have
investigated the role of stranded assets in specific sectors and countries (Caldecott and
Robins, 2014; Fleischman et al., 2013; Leaton, 2012; Meinshausen et al., 2009; Robins
et al., 2012; World Resource Institute, 2015). By investing in fossil fuel companies, fi-
nancial institutions hold direct ”high-carbon exposures”, which for European actors have
been estimated to be, relatively to their total assets, about 1.3% for banks, 5% for pension
funds and 4.4% for insurances (Weyzig et al., 2014). One can compute the Value at Risk
associated with climate shocks (Dietz et al., 2016) in the context of Integrated Assessment
Models (Nordhaus, 1993) in which aggregate financial losses are derived top-down from
estimated GDP losses due to climate change. However, climate policies (especially policy
inaction) impact on climate change as much as climate change impacts on policies them-
selves. The intrinsic and fundamental uncertainty emanating from this interdependence
undermines the knowledge of the underlying probability distributions of asset returns,
leading in particular to fat tails (Nordhaus, 2011). Further, it is now understood that
interlinkages among financial institutions can amplify both positive and negative shocks
(Battiston et al., 2013, 2016c) and significantly decrease the accuracy of our estimation
of default probabilities in an interconnected financial system (Battiston et al., 2016d).
As a result, calculations of expected losses/gains from climate policies carried out with
traditional risk analysis methodologies have to be taken with great caution.
Here, we develop a complementary approach, rooted in complex systems science, and
consisting of a network analysis of the exposures of financial actors (Haldane and May,
2011; May et al., 2008) to all climate-relevant sectors of the economy, as well as the
exposures among financial actors themselves, across several types of financial instruments.
This analysis is meant as a tool to support further investigations of the potential impact
and the political feasibility of specific climate policies (Peters, 2016; Rogelj et al., 2011).
In order to go beyond the mere exposure to the fossil fuel extraction sector, we remap an
existing standard classification of economic sectors (NACE Rev2) in terms of relevance
of sectors to climate mitigation policies and we analyse empirical data of the Euro Area
both at micro and macro level. We find that while direct exposures to the fossil fuel
sector are small (3-12%), the combined exposures to climate-policy relevant sectors are
large (40-54%), heterogeneous, and amplified by large indirect exposures via financial
counterparties (30-40%).

Results
By targeting the reduction of GHG emissions, climate policies positively or negatively
affect revenues and costs of various sectors in the real economy with indirect effects on
the financial institutions holding securities of firms in those sectors. However, the existing

2
classifications of economic sectors such as NACE Rev21 or NAICS2 were not designed
to take into account climate impact and thus cannot be directly applied to estimate
financial exposures to climate relevant sectors. For instance, the NACE2 sector B (Mining
and quarrying) includes activities that are unrelated to fossil fuel extraction, while other
activities that relate to fossil fuel extraction from a policy perspective are instead classified
under other sectors such as manufacturing or transports. As described in Methods, we
identify five main sectors relevant for climate policies, based on the combined criteria of
(i) their GHG emissions, (ii) their role in the energy supply chain, and (iii) the existence
in most countries of traditional policy institutions (e.g. the ministry of energy). These
sectors are: fossil fuel, utilities, energy-intensive, transport and housing. We then map all
the sectors of economic activities at NACE2 4-digit level into one of these climate relevant
sectors (see Methods and Figure 1, 2).
In order to assess the exposure of financial actors to the climate relevant sectors we
consider the standard European Systems of Accounts (ESA) classification3 of financial
actors into banks, investment funds, insurance and pension funds. The exposures of
each financial actor can be decomposed along the main types of financial instruments:
equity holdings (e.g. ownership shares including both those tradable on the stock market
and those non-tradable), bond holdings (e.g. tradable debt securities) and loans (e.g.
non-tradable debt securities). As described in Methods, by combining the breakdown of
exposures across instruments with the reclassification of securities we compute the total
direct exposure of a given financial actor to each climate relevant sector.

Direct exposures of global financial actors to climate relevant

sectors along equity holdings
In order to provide empirical estimates of exposures to climate relevant sectors we apply
our methodology to recent available datasets. Despite their relevance for policy purposes,
data about securities holdings of financial institutions, in particular to climate relevant
sectors, is generally scarce, inconsistent or even undisclosed. Along the three main in-
strument types mentioned above (equity, bonds and loans), at the level of individual
institutions only some data of equity holdings are publicly available.
We thus first analyse a sample obtained from the Bureau Van Dijk Orbis database cov-
ering all EU and US listed companies and their disclosed shareholders (14, 878 companies
and 65, 059 shareholders) at the last available year, i.e. 2014. Based on our methodology,
we construct the portfolio of each shareholder and we compute its exposure to each cli-
mate relevant sector. In order to gain insights on the magnitude of indirect exposures we
further classify equity holdings in companies belonging to the financial sector. We group
shareholders by investor type in order to include, besides the institutional financial sectors
1
http://ec.europa.eu/eurostat/web/nace-rev2
2
http://www.census.gov/eos/www/naics/
3
http://ec.europa.eu/eurostat/web/esa-2010

3
from the ESA classification (i.e. banks, investment funds, insurance and pension funds)
also individuals, governments, industrial companies, other credit institutions and other
financial services. Figure 3 shows the result of the aggregated exposures in terms of equity
holdings in listed companies for each investor type. As one may expect, the combined
shares of equity holdings held by institutional financial investors (i.e investment funds,
insurance and pension funds, banks and other financial services) amounts to the majority
(i.e. 58.7%) of total market capitalization, equivalent to about 32.4 trillion US dollars.
The fact that banks hold a smaller share of equity exposure compared to other investors
is due to high capital requirements for equity holdings (European Commission, 2014).
The following findings emerge. First, the relative equity portfolio exposures of all
investors types to the fossil sector are limited (i.e. ranging from 3.7% for Individuals to
11.4% for Governments). Second, their relative equity portfolio exposures to the combined
climate relevant sectors is large (i.e. ranging from 39.8% for Insurance and Pension
Funds to 53.8% for Governments) and mostly accounted for by the energy-intensive sector.
Third, their relative equity portfolio exposures to the financial sector ranges from 4,9%
for Industrial Companies up to 24,6% for Other Credit Institutions.
Our calculations also allow us to explore in further detail the equity holdings com-
positions of individual major players in each investor type. As shown in Figure 4-5 for
investment funds and banks, the portfolio size vary by more than ten times among the
twenty largest players. At the same time, in relative terms, portfolios’ compositions look
similar across financial actors. In order to investigate systematically the differences and
similarities in portfolio composition among financial actors, we compute the distribution
of relative exposures of each investor type in each climate relevant sector. We conclude
that the average portfolios of different investor types are extremely similar, with only
Governments showing higher portfolio concentrations in strategic sectors, such as fossil
and utilities. Nevertheless, within each investor type, the deviations associated with the
estimates of mean relative portfolio exposures are extremely high, indicating high het-
erogeneity in individual investors’ portfolio compositions, particularly for Individuals and
Industrial Companies. Results are presented in more detail in the Supplementary Infor-
mation. We then test whether any given pair of investor types are statistically different
in their distributions by running a two-sample Kolmogorov-Smirnov test, which yields a
positive result if the two samples come from the same distribution within a 5% confi-
dence interval. Among investor types we find two main groups. The first group includes
investment funds, other financial services, other credit institutions and, to a smaller de-
gree, insurance and pension funds, which show similar holding distributions in all sectors,
with the exception of the energy-intensive sector. The second group includes banks and
governments, which display similarity in portfolio compositions across all sectors, except
fossil and utilities. The two groups of investor types differ from each other across all
sectors, thus suggesting that their portfolios of equity holdings are statistically different.
More details are reported in Supplementary Information. These results show that eq-
uity holdings are heterogeneous across individual actors but display statistical similarities

4
across groups of investors. In particular, most actors types tend to have similar and large
combined exposures to climate relevant sectors, with most of the exposures concentrated
in the energy-intensive sector.
Notice that climate mitigation policies are commonly thought to adversely affect the
value of equity holdings in the fossil sector (Leaton, 2012) and, indirectly, affect also
adversely the economy as whole. However, at the same time, assets in the renewable
energy sector can be expected instead to increase in value as they gain increasing market
shares4 in the energy market(Monasterolo and Raberto, 2016). As a result, the impact
of the climate policies on assets invested in energy-intensive activities can in principle be
either positive or negative depending upon the energy source and the technologies used
in the production process. Further, in other sectors such as housing, climate policies
and in particular energy efficiency policies can result in increase or decrease of property
values according to the energy source used for heating and electricity and the level of
compliance with building retrofitting requirements. This implies that climate mitigation
policies can be expected to increase volatility on a large portion of investors portfolios in
equity markets.

Climate stress-testing direct and indirect exposures of EU largest

banks to climate-finance relevant sectors
In order to illustrate how our methodology can be used to conduct a climate stress-test
of the banking system based on microeconomic data at the level of individual banks, we
focus on the largest 50 listed European banks. Equity holdings data are cross-matched
with balance sheet information on total lending and borrowing of each bank to other
banks obtained from Bureau Van Dijk Bankscope database5 . Exposures of a bank to
individual other banks is estimated using existing methods (see Methods).
First, we compute the ratio of the exposures of each bank to climate relevant sectors
over banks’ equity. This fraction represents the upper bound on the relative losses on
capital that a bank would suffer, via its equity holdings, in the case of a combined adverse
shock to those sectors. Figure 6 (red bars) shows the ratio of the exposure (to fossil and
utilities) over capital for the 20 most affected banks. We could of course compute the
probability of losses, and therefore the Value-at-Risk for each bank, if we could know
the underlying distribution of shocks on the value of the equity holdings in the climate
relevant sectors. Unfortunately, these distributions can hardly be measured or inferred
from empirical data. Indeed, they are affected by the very climate policies that should
rely on their estimation. Because of this feedback loop in the climate policy cycle, from
a scientific standpoint it is cautious to focus on the upper bounds of losses. Notice that,
so far, we have only considered the direct effects, i.e. what in the bank stress-testing
language is referred to as the first-round effects.
4
See Reports of OECD and IEA2015; IRENA Annual Review 2016
5
https://orbis.bvdinfo.com/

5
 Second, we estimate the so-called second-round effects due to the devaluation of in-
terbank obligations of banks exposed to the first round. The estimation of second-round
effects varies depending on the model used and on the assumptions made regarding the
ability of defaulting banks to liquidate their assets at a price close to the book value. Tra-
ditional methods based on the Eisenberg and Noe’s approach (Eisenberg and Noe, 2001)
typically yield second-round effects close to 0, because of their assumptions on the ability
to fully and promptly recover counterparties’ assets in case of default. In contrast, recent
methods based on the DebtRank approach (Battiston et al., 2016a, 2012) typically yield
second-round effects comparable in magnitude to the first-round effect. Figure 6 (blue
bars) shows the exposure of banks to second-round effects via interbank loans, according
to the DebtRank method. In the context of this work, the combination of red and blue
bars can be regarded as the upper bound on banks’ exposures (on equity holdings) due to
both first and second-round effects. Notice that some banks have no first-round exposures
but have important exposures at the second round. The results of this exercise show that
none of the largest banks could default solely due to their exposures to climate relevant
sectors on the equity market.
This result is also due to the fact that, because of regulatory constraints, Euro Area
banks bear very little exposures to equity holdings overall (about 1.2T in aggregate,
amounting to 3.8% of total assets and 48% of capital) but a much larger exposure to loans
to non-financial corporations (about 4.8T euros = 13.8% of total assets and 192% of capital
Unfortunately, Euro Area banks’ loans are only available at the main NACE Rev2 level
of aggregation6 and therefore, at this stage, we cannot compute precisely the exposures of
banks to the climate relevant sectors via their loans. A very rough calculation yields the
following estimates for the aggregate exposures on loans as a fraction of banks’ capital:
fossil and utilities = 11.4%; energy-intensive= 28%; transportation = 16%; housing 73%.
We also need to consider banks’ loans to households, mostly mortgages, which add a
further 208% of exposures in the housing sector as a fraction of capital. These numbers
suggest that typical Euro Area banks would not default solely due to their exposures
over loans to firms in the fossil and utilities sectors. However, climate policies impacting
on (i) energy-intensive and transport or (ii) on the housing sector would imply increased
volatility on a portion of assets representing respectively about 40% and 280% of banks’
capital. While the availability of data on individual banks’ loans to firms with a finer
classification of economic activities would allow us to carry out more precise calculations,
our analysis suggests that (i) banks are in general not directly affected by an increase of
non-performing loans in the fossil and utility sector but (ii) climate mitigation policies
can be expected to increase volatility on portion of banks’ assets on the loan market that
are largely exceeding bank’s capital.
6
http://sdw.ecb.europa.eu/

6
Indirect exposures of European financial actors to climate rele-
vant sectors.
Besides the case of banks and the interbank credit markets, there are no established mod-
els of propagation of financial distress among other financial actors. Moreover, exposure
data at the level of individual financial institutions is not available so far, even to most
financial authorities. Hence in order to gain insights on the magnitude of indirect expo-
sures among broader classes of financial actors, we rely on sector-level data available from
the ECB Data Warehouse. By cross-matching the aggregate balance sheets of the major
institutional financial sectors (banks, insurance and pension funds, investment funds) we
can infer aggregate estimates of equity holdings in non-financial firms. We then combine
this data with equity holdings from ORBIS to infer the breakdown across climate-relevant
sectors (see Methods).
The following findings emerge from our analysis of the Euro Area. First, the major
direct exposures of financial actors to climate relevant sectors are concentrated on equity
holdings for investment funds and pension funds, while they are concentrated in loans
for banks. Bonds are only a minor channel of direct exposure to climate relevant sectors
because outstanding bonds issued by non-financial firms in the Euro Area amount to
about 1 trillion, i.e. about only 1/5 of the values of equity shares issued by the same type
of firms. Indeed, only less than 7% of bonds are issued by firms in the real sectors, with
roughly 40% issued by governments and another 45% issued by financial institutions.
Second, there are large indirect exposures of financial actors to climate relevant sectors.
Remarkably, pension funds hold an exposure of about 25% of their total assets in equity
shares of investment funds, which in turn hold an exposure of about another 25% in
equity of climate-relevant sectors. Pension funds also hold another exposure of 15% of
their total assets in bonds and loans to banks, which in turn hold an exposure of about 14%
to climate-relevant sectors. In contrast, the direct exposure of pension funds to climate
relevant sectors is only about 8%. These findings imply that adverse shocks on the fossil
sector and increased volatility on asset values in the other climate-relevant sectors could
affect large portions of pension funds assets but this would occur more through indirect
exposures than through direct exposures.

Conclusions
To conclude, by remapping the existing classification of economic activities into sectors
that are relevant to climate policies and by taking a complex network approach to the
analysis of financial interdependencies, we are able to provide a first estimate of the
direct and indirect exposures of financial actors to climate-relevant sectors in the Euro
Area. Our findings suggest that climate mitigation policies can be expected to increase
volatility on a large portion - ranging from 20% to 40% - of investors’ portfolios in equity
markets. Furthermore, the portion of banks’ loans to the real sector potentially affected

7
by increased volatility largely exceeds banks’ capital. Finally, adverse shocks on the fossil
sector along with increased volatility in other climate-relevant sectors could affect large
portions of pension funds assets (more than 40%) primarily through indirect exposures.
Our findings suggest that climate policies could result in potential winners and losers
across financial actors but would not have adverse systemic impact, as long as they are
implemented early on within a stable policy framework. Our work contributes to address
the problem of quantifying the risk of climate finance policies and their implications
in terms of systemic risk or economic growth, as a precondition to assess the political
feasibility of climate finance policies.

Methods
Identifying climate-policy relevant sectors in the real economy
Many climate policies target the reduction of GHG emissions (in particular non-carbon
neutral processes). In order to identify the climate-policy relevant sectors we group eco-
nomic activities with the following logic. We start from the top sectors by direct GHG
emissions according to Eurostat (scope 1 CO2 equivalent), which includes activities across
sectors such as utilities, transports, agriculture, manufacturing and households. We also
include the mining sector, although it has small direct emissions according to the scope
classification, because all the emissions of the three above sectors derive directly or indi-
rectly from the fossil fuel extraction when accounting from the supply side (Erickson and
Lazarus, 2013). We then take into account the so-called carbon leakage risk classifica-
tion, which according to the EC Directive 2015 (European Commission, 2014) identifies
activities (mostly within manufacturing) for which either costs or competitiveness are
heavily affected by introduction of a carbon price. It can be easily verified that the tra-
ditional NACE2 (but the same holds for NAICS) classification of economic activities is
not well-suited for a climate-policy analysis. For instance, some activities classified under
B-mining and quarrying, such as B7.1 - ”Mining of iron ores” are not so relevant for
climate policies. In contrast, some activities classified under C-manufacturing, such as
C19.2 - ”Manufacture of refined petroleum products” or transport H49.5 - ”Transport
via pipeline”, are more relevant to the fossil fuel sector from the criterion of economic
scenarios resulting from climate policies. Furthermore, some activities that pertain to the
housing sector from a policy perspective fall into different NACE2 sectors such as F -
construction and L - real estate.
All the considered economic activities can be divided into three categories: 1) suppliers
of fossil fuels, 2) suppliers of electricity 3) users of either fossil fuels or electricity. We
can further divide the third category according to the traditional policy areas: transport,
housing and manufacturing. While suppliers of fossil fuels are mostly negatively affected
by GHG emission reduction policies, the other categories can be affected positively or
negatively depending on the energy source utilized (fossil fuel vs renewable). Based on

8
all the above information we can finally remap all the economic activities from the 4-digit
NACE2 classification into the following climate-policy relevant sectors: fossil, utilities,
transport, energy-intensive, housing. The complete mapping from NACE Rev.2 4-digits
codes is provided in Supplementary Information.

Assessing direct exposures of financial actors

Since our goal is to assess the exposure of financial actors to the climate-policy relevant
sectors in the real economy, we group financial actors into financial institutional sectors
according to the standard ESA classification: banks, investment funds, insurance and
pension funds. The exposures of each financial actor can be decomposed along the main
types of financial instruments: equity holdings (e.g. ownership shares including both
those tradable on the stock market and those non-tradable), bond holdings (e.g. tradable
debt securities) and loans (e.g. non-tradable debt securities). More formally, denoting by
Ai the total assets of financial actor i, and by S the set of climate-relevant sectors, we
can write !
X X Equity
Bond Loan
Ai = αij + αij + αij + Ri (1)
S∈S j∈S

where the terms αij ’s denote the monetary values of the exposures of i in the securities
associated with economic actors j for the different types of instruments and Ri is a
residual accounting for the exposure to other sectors and instruments not considered in
our analysis.
Although instrument types have different risk profiles, it is informative to look at the
total exposure of financial actors to a given sector across all instruments. For instance, we
can compute in this way the full exposure of a given bank to the fossil sector, by summing
up all of its equity holdings, bonds and loans exposures to this Psector. If we denote by αiS
Equity Bond Loan
the total exposure of actor i to sector S, we can write αiS = j∈S αij + αij + αij .
In addition to the exposures of individual financial actors, we are also interested in the
aggregate exposure
P of an entire financial institutional sector F to a given climate relevant
sector, AF S = i∈F αiS . Finally, the total direct
P exposure
P of the financial system in the
totality of climate relevant sectors is AF S = F ∈F i∈F αiS , where F denotes the set of
financial institutional sectors.

Assessing indirect exposures of financial actors

A large portion of assets held by financial institutions are in fact securities issued by other
financial institutions. For instance, about 40 % of banks’ balance sheet in the Euro Area;
about 25% of the market capitalization is invested in equity issued by companies in the
financial sectors; about 40% of the bond market is represented by outstanding obligations
issued by financial institutions.

9
 As a result, there is a potential systemic risk that can materialize through the so-
called second-round effects (Battiston et al., 2016b,d). For instance, first-round effects
may induce directly the bankruptcy of a financial institution which then defaults on its
obligations towards its financial counterparties. Second-round effects refer to financial
contagion effects including, but not necessarily further defaults. More generally, the
accounting practice of mark-to-market implies that the deterioration of the balance sheet
of a financial institution has a negative impact on the market value of its obligations held
by its counterparties 7 . More formally, in the breakdown of total assets, we can distinguish
the securities issued by firms in the financial sectors (whose values depend on their own
assets’ values) from those issued by firms in the climate relevant sectors to obtain
!  
X Equity X Equity
Bond Loan Bond Loan 
Ai = αij (Aj ) + αij (Aj ) + αij (Aj ) + αik + αik + αik + Ri .
j ∈F k ∈A/F
(2)
The above is a system of coupled equations in the asset values. In the spirit of analysing
the short term effects of a deviation in the values from an initial face value of the securities,
Instrument 0 0
the terms αij (Aj ) can be written as the product αij fij (Aj ), where αij represents
the face value of the security at the initial time and fij (Aj ) represents the valuation of
the security with respect to its face value. While the exact functional form of fij depends
on the instrument type and the pricing model used for the valuation of the security, it is
possible nevertheless to infer certain useful properties. Consider for instance a chain of
exposure in which the financial actor i holds bond securities issued by the financial actor
j, who in turns holds securities issued by a firm k in the climate relevant sector. From
the equations above it follows that

∂Ai (Aj (Ak )) ∂Ai (Aj ) ∂(Aj ) 0 0 ∂fij ∂fjk

= = αij αjk . (3)
∂Ak ∂Aj ∂Ak ∂Aj ∂Ak

Without loss of generality, in line with widely used pricing models such as those based on
the Merton model for the value of debt obligations, the functions fij are non-decreasing
in the value of the assets of the issuer j, i.e. dfij /dAj ≥ 0, because the ability of the
issuer to pay either dividends or interest rates to its creditor generally increases with the
issuer’s total assets, everything else the same.
It follows that, as long as the terms dfij /dAj are not too small and comparable across
instruments, the indirect exposure to a climate relevant sector along chains of financial
actors is determined by the product of the face value of the exposures along the chain,
0 0
αij αjk . The result can be generalized to longer chains although we focus on length two
in this work. Notice also that the problem of finding the largest indirect exposures is
7
Mark-to-market and in particular, Credit Valuation Adjustment (CVA), is recognized as a major
mechanism of financial distress propagation. During the 2007/8 financial crisis, it accounted for two
thirds of all losses on the financial system (see FSA (2010))

10
mathematically equivalent to a known graph theoretical problem of finding the strongest
path in a weighted graph (Thai and Pardalos, 2011).

Data
Data on equity holding was obtained through the Bureau Van Dijk Orbis database. We
collected a sample covering all EU and US listed companies and their disclosed share-
holders with voting rights as of the end of the last available year, i.e. 2014. After
some consistency checks we end up with 14, 878 companies and 65, 059 shareholders. By
grouping the exposures by investor we thus reconstruct portions of their equity holding
portfolios, within the limitations of the available data. Further details on the dataset
and the methodology is provided in Supplementary Information. Data on the balance
sheets of the top 50 listed European banks is obtained from Bureau Van Dijk Bankscope
database. Data include for each bank its total lending and borrowing to other banks.
Exposures of a bank to individual other banks are not publicly available and have been
estimated based on existing methodologies (Battiston et al., 2016a). Data on GHG and
CO2 emissions of sectors have been obtained from Eurostat statistics8 . Data on financial
exposures at the sectoral level have been obtained from the ECB Data Warehouse 9

U/li/es

Fossil-fuel Energy-intensive
extrax/on Fossil-fuel
supply
sector Electricity
supply
Electricity
supply Transport
Reclassifica.on logic:

1. U/li/es, transport, housing -

top sectors for GHG emissions
(scope 1)
Housing 2. Fossil-fuels (low direct but high
indirect emissions)
3. Ac/vi/es affected by climate
Main channels:
policy either through costs or
1. Fossil-Fuel->U/li/es->Transport revenues).
2. Fossil-Fuel->Transport
3. U/li/es->Housing
4.U/li/es->Energy-intensive

Figure 1: Diagram illustrating the interdependencies among climate relevant sectors.

8
http://ec.europa.eu/eurostat/statistics-explained/index.php/Greenhouse_gas_
emission_statistics
9
http://sdw.ecb.europa.eu/

11
 Reclassifica,on of economic sectors Classifica,on of assets according to
from NACE2 into climate-sensi,ve instrument and climate-sensi,ve
sectors sectors

Climate-sensi,ve Asset PorBolio Asset PorBolio by

NACE2 codes sectors climate sector
by instrument
B Fossil-fuel
Equity
U,li,es
C
Bonds
Energy-
intensive
D
Loans
Housing
F

H Transport

Figure 2: Diagram illustrating the reclassification of sectors from NACE Rev2 codes into cli-
mate relevant sectors.

Figure 3: Equity holdings in EU and US listed companies. Sector composition of aggregate

institutional sectors world-wide according to BvD data 2015.

12
Figure 4: Equity holdings in EU and US listed companies. Sector composition of largest port-
folios of investment funds world-wide according to BvD data 2015.

Figure 5: Equity holdings in EU and US listed companies. Sector composition of largest port-
folios of banks world-wide according to BvD data 2015.

Figure 6: First and second round losses distribution for the 20 most-severely affected EU listed
banks, under the Fossil-fuel + Utilities 100% shock. Subsidiaries have not been taken
into account.

13
Appendix - Supplementary Information
A Exposures
A.1 Relative equity exposures and portfolio analysis
The portfolio compositions look similar across all financial actors. To shed more light on
the possible peculiarities of each type of investor, it is necessary to analyze relative eq-
uity exposures (both in terms of market capitalization of the sectors and equity portfolio
of the shareholders). We plotted in Figure 7 the fraction of total market capitalization
owned in fossil-fuel, energy-intensive and housing companies along with the fraction of
such equity exposures in the total equity portfolio of each actor. The fraction of market
capitalization gives information about the size of the equity exposure in climate-sensitive
sectors for each actor and can also be used to quantify its bargaining power and influ-
ence10 on the underlying companies. The fraction of equity portfolio, on the other hand,
quantifies which actors are potentially more exposed to the climate-sensitive sectors.
Investment funds represent the biggest institutional investor by far (in terms of fraction
of market capitalization owned), while industrial companies, governments and other credit
institutions have the highest relative portfolio exposure. Banks play a minor role, as
should be expected by aggregate data and the regulatory burden imposed on them in
terms of equity holdings. Figure (8) shows exactly the same quantities as Figure (7) but
for a breakdown of individual major global banks in our dataset.

Figure 7: Relative equity exposures of actors to fossil fuel, energy-intensive and housing com-
panies. Bubble size proportional to total equity holdings in EU and US companies.
10
The term influence is here used, instead of control, to emphasize that most financial actors act
as fiduciaries or custodians and are thus seldom interested in exercising voting rights of their shares.
Nevertheless, this ownership allows them to potentially exercise direct control on the owned companies.
Engagement, next to divestment, is increasingly regarded as a strategy for dealing with carbon risk from
an investor perspective.

14
Figure 8: Relative equity exposures of major banks to fossil fuel, energy-intensive and hous-
ing companies. Bubble size proportional to total equity holdings in EU and US
companies.

To further investigate the differences and similarities in portfolio composition among

financial actors, we present in Table (1) the mean portfolio for each type of investor,
together with the standard deviation.
IFs Banks IPFs NFCs OFSs GOV Individuals OCIs
Fossil-fuel 4.91% 6.87% 6.16% 6.12% 4.73% 12.88% 4.38% 4.08%
12.43% 14.05% 14.26% 23.13% 10.28% 21.68% 20.40% 12.14%
Utilities 1.36% 2.68% 1.60% 1.80% 1.46% 6.27% 0.80% 2.10%
4.77% 8.19% 5.58% 12.77% 4.78% 16.07% 8.86% 5.92%
Energy-intensive 27.89% 24.52% 25.37% 27.86% 25.79% 19.51% 27.28% 21.15%
22.06% 18.91% 22.05% 42.89% 19.31% 11.35% 44.44% 20.95%
Housing 5.03% 5.84% 4.68% 7.52% 4.06% 7.69% 5.21% 7.13%
10.85% 12.38% 9.99% 25.59% 8.98% 11.46% 22.17% 12.92%
2.46% 2.59% 1.93% 1.90% 2.13% 1.32% 1.19% 1.53%
Transport
7.51% 6.15% 5.68% 12.95% 5.83% 2.06% 10.82% 3.23%
15.09% 20.09% 17.98% 13.03% 17.89% 17.01% 19.86% 25.77%
Finance
21.26% 22.76% 24.99% 32.28% 22.09% 16.42% 39.84% 25.63%
43.27% 37.43% 42.29% 41.75% 43.93% 35.32% 41.27% 38.25%
Other
23.56% 22.75% 25.14% 47.20% 21.67% 21.44% 49.12% 22.89%

Table 1: Mean (first row) and standard deviation (second row) of equity holdings as percentage
of portfolios for each financial actor in each sector

From Table (1) some specific properties of certain actor types emerge. We notice
that Governments tend to have higher portfolio concentrations in Fossil-fuel and Utili-
ties, coherently with the strategic nature of these sectors. All actors present very big
standard deviations, indicating that the underlying sets of portfolios are generally very
heterogeneous and a great degree of variability is present, even inside a given actor type.
In particular, Individuals and Industrial Companies show the highest values of standard
deviation in every sector, due to the fact that most of these financial actors tend to concen-
trate their equity holdings in specific companies (as in the case of individuals who founded

15
and own substantial shares in their own companies) or sectors (as in the case of industrial
companies owning several subsidiaries in the same sector as the parent company).
Apart from small deviations, it is clear that mean portfolios show a similar composi-
tion across all financial actors. It is therefore perhaps worthwhile to take full advantage
of our microscopic dataset on individual shareholders by analyzing and comparing the
distributions of portfolios within given investor types.
We run a two-sample Kolmogorov-Smirnov test to compare fractions of portfolio in-
vestments in each sector for all shareholders belonging to a given pair of financial actors.
The test yields a positive result if the two samples come from the same distribution within
a 5% confidence interval. This allows us to quantify in a statistically accurate fashion to
what degree two financial actors follow a similar portfolio strategy. Average p-values close
to one for a given pair of actors indicate strong statistical evidence that the portfolios of
the individual shareholders belonging to those two financial actor types follow a common
distribution function. Results are reported in Tables 2-6.
Banks and Governments show a moderate degree of similarity in portfolio compositions
(bottom right cluster), while differing from all the remaining financial actors. Individu-
als, Industrial Companies, Insurance and Pension Funds and Investment Funds (top left
cluster) show the highest degree of similarity among themselves.
These results show that in general actors’ equity investment strategies in climate-
related sectors statistically differ even though aggregate portfolios suggest a common
composition, as shown in Figure (10). In other words, while the average financial actor
tends to invest according to a common portfolio scheme, regardless of its type, individual
shareholders follow strategies that depend strongly on their type and show more or less
marked similarities with other shareholders of different types.
In Appendix C we present a breakdown by sector, which sheds some light on which
pair of actors share the same investment strategies within a given climate-related sector.

A.2 Stress-test example

The results show the impact on the top 50 listed EU banks of a 100% shock in the market
capitalization of the climate-sensitive sectors in different, progressive aggregations.
For the shock scenarios we obtained the following results:

16
 1st Round Relative Equity Loss 2nd Round Relative Equity Loss
Fossil-fuel 2.55% (6.08±0.10)%
Fossil-fuel + Util-
3.79% (9.75± 0.15)%
ities
Fossil-fuel + Util-
ities + Energy- 13.18% (27.91 ± 0.45)%
intensive
Fossil-fuel + Util-
ities + Energy-
15.09% (30.24 ± 0.40) %
intensive + Hous-
ing + Transport

A breakdown by individual banks is shown in Figure 6. The results can be interpreted

as an absolute upper bound of the potential losses of the EU banks through the contagion
channel of equity holdings. A 100% shock on all equity exposures allows us to roughly
identify the vulnerability of the banking system to the market risk posed by a shock on
the climate-sensitive sectors, without specifying a necessarily arbitrary shock magnitude.
The contributions coming from the second round reverberation on the interbank lend-
ing network are particularly important, since they quantify in a precise way the ampli-
fication of losses due to financial interlinkages. Typically such amplification is at least
as sizable as the first round effect, indicating that failing to take into proper account
the interconnectedness of the financial systems leads to a severe underestimation of the
systemic risk to which the system is exposed.
We further remark that the most significant contribution comes from the energy-
intensive sector, both because of its breadth and because of the substantial equity expo-
sures of banks to it.
In computing first round losses we couldn’t fully take into account banks’ subsidiaries.
Financial institutions can have a very complex ownership structure and several divisions,
each one carrying out financial activities in different institutional sectors, e.g. investment
fund, insurance, retail, banking (commercial and/or investment). In particular the equity
holding might be recorded as owned by different entities within the same group, for
instance UBS AG is a bank, UBS Asset Management is another division and they both
belong to UBS Group AG, which is a holding company. For the moment we have not
aggregated the ownership data under the same holding company. Exposures might be
relatively higher if this consolidation were taken into account.

B Data acquisition and data processing

Our Orbis equity dataset records 366, 225 bilateral equity exposures between 14, 878 listed
EU and US companies and 65, 059 global shareholders at the end of 2014.

17
Data description
The information available in the relational database is as follows:

Companies Shareholders
Name Name
BvDID / LEI / ISIN BvDID / LEI / ISIN
Postcode
Ticker symbol
Country ISO code Country ISO code
NACE Rev. 2 one-digit code
NACE Rev. 2 core code NACE Rev. 2 core code
Operating Revenue Operating Revenue
Total Assets Total Assets
Market Capitalization
Shareholder BvD Type
Direct Equity Holding (%)
Total (Direct + Indirect) Equity Holding (%)

All the data refers to the last available year, which is 2014.

Missing data
The data coverage is of 93.47% of all market capitalization of the listed companies, mean-
ing we can effectively map out virtually all equity holdings in these companies. Market
capitalization data was not available in the dataset for 3.19% of the companies listed.
For 5.23% of bilateral exposures the fraction of shares owned by the shareholder was not
available. This missing data has simply been ignored in data processing.
Data on companies had a general good coverage, with only 1.22% of assets data
missing and just 8 companies without NACE core code (they have been removed from
the dataset). Most missing data affected shareholders, but for quantities of no interest to
us, eg 82.52% of shareholders had no operating revenue and up to 83.51% had no data on
assets. Moreover 75.46% missed their NACE core codes.
One of the most interesting fields for shareholders was the ”Shareholder BvD Type”.
This field is an attempt from the Bureau Van Dijk of classifying shareholders into several
institutional categories. As is explained in Appendix B, this classification proved unreli-
able for our purposes. For completeness we list below the composition of shareholders in
our dataset according to their ”Shareholder BvD Type”:

18
 Shareholder BvD Type Fraction in dataset
Bank 1.57%
Employees/Managers/Directors 0.82%
Financial Company 7.08%
Foundation/Research Institute 0.64%
Hedge Funds 0.24%
Industrial Company 22.26%
Insurance Company 0.98%
Mutual & Pension Fund/Nominee/Trust/Trustee 12.76%
Individuals 50.10%
Private Equity Firms 1.54%
Unnamed Shareholders 2.01%

Banks dataset
We focus on the impact of the shock profiles on a subset of all the shareholders, namely
the top 50 EU banks. These banks account for 90% of total equity and 95% of total
assets of the EU banking sector (counting only listed banks) and are therefore assumed
representative of the entire EU banking network.
Bilateral lending among these institutions has been computed through a fitness model
(see from 2014 aggregate data on total lending and borrowing for each institution. This
model takes as input the total lending and borrowing of each bank and returns a collection
of networks that are consistent with these aggregate data and show a topology (known as
core-periphery topology) that is empirically known to correspond to the interbank lending
network of various countries. The methodology applied is exactly identical to the one used
in Battiston et al. (2016a) and consists in

• simulating an ensemble of 100 networks according to the model (density 20%),

• running the DebtRank algorithm on each network,

• computing and reporting an ensemble measure (the mean) of the global relative
vulnerabilities thus calculated.

C Financial actors and sectors

C.1 Sectors
The classification of sectors follows partly the list provided by European Commission
(2014) and partly a custom classification aimed at isolating other relevant sectors for
purely expository reasons. The complete mapping from NACE Rev. 2 core codes to our
classification is as follows:

19
 NACE Rev. 2 core codes Sectors
B5.1-B6.2, B8.9.2, B9.1, C19.1-C19.2, C20.1.1, C28.9.2,
D35.2, F43.1.2, F43.1.3, H49.5 Fossil-fuel
B7.1, B7.2.9, B8.9.1, B8.9.3, B8.9.9, C10.2, C10.6.2,
C10.8.1, C19.8.6, C11.0.1, C11.0.2, C11.0.4, C11.0.6,
C13.1-C15.2, C16.2.9-C17.1.2, C17.2.4, C20.1.2-C20.2,
C20.4.2, C20.5.3-C22.1.9, C23.1.1, C23.1.3-C23.5, C23.7, Energy-intensive
C23.9.1, C24.1-C24.2, C24.4-C24.4.6, C24.5.1, C24.5.3.,
C25.4, C25.7, C25.9.4-C28.9.1, C28.9.3-C29.1, C29.3.1,
C30.3, C30.9, C31.0.9-C32.9,
C23.6.1, C23.6.2, C31.0.1-C31.0.3, F41.1, F41.2, F43.1-
F43.9, I55.1, L68 Housing
D35.1, F42.2.2 Utilities
H49.1-H49.4, H50-H51.2.1, H52.5-H53.2.0 Transport
K Finance
All remaining ones Other

C.2 Actors
The classification of financial actors has always traditionally been a challenging topic.
Many financial institutions operate simultaneously as different kinds of institutional in-
vestors, offering services as diverse as asset management, investment fund, bank (com-
mercial and investment), pension fund and many more. Most financial companies are
organized in branches offering different financial services and owned by a single holding
company. It is not always clear how to consolidate the different subsidiaries and in any
case it is important to allow sufficient detail in classification, in order to identify the func-
tion of a single branch, while retaining a general idea of what the ultimate entity, and
final receiver of potential shocks, is.
Our classification is partly based on NACE Rev. 2 core codes and partly on the
proprietary classification offered by Bureau Van Dijk. NACE codes were not available
for 75.46% of shareholders (all the minor ones and of course all individuals). On the
other side the Orbis classification does not exactly reflect the traditional taxonomy of
institutional investors (eg ”Blackrock Inc” is considered to be of type bank). For a given
shareholder, if the NACE code was provided, we classified it according to the following
table:
NACE Rev. 2 core
Sectors
codes
K64.1 Banks
K64.2, K64.3, K64.9.1,
Investment funds
K66.1.2, K66.3
K65.1-K65.3, K66.2 Insurance and Pension funds
K64.9.2, K64.9.9 Other Credit Institutions
K66.1.1, K66.1.9, Other Financial Services
All non-K codes Industrial Company

For shareholders for which no NACE code was provided, we followed the Orbis clas-
sification. This widened our previous classification, forcing us, in particular, to add two

20
new actors:
• Individuals
• Governments
Our breakdown by actor type for our dataset is shown in the following table:

Type Fraction in dataset Absolute number in dataset

Banks 1.23% 798
Governments 0.19% 125
Individuals 51.85% 33,733
Industrial Companies 22.83% 14,851
Insurance and Pension Funds 9.82% 6,392
Investment Funds 7.88% 5,124
Other Credit Institutions 1.47% 955
Other Financial Services 4.74% 3,081

D Analysis of individual shareholders’ portfolios

Figure 9: Portfolio compositions of the top 15 banks in the dataset.

Figure 10: Portfolio compositions of the top 15 investment funds in the dataset.

21
In the analysis of the portfolios of individual shareholders we had to deal with a specific
limit of our dataset: it comprises all US and EU listed companies, giving us a good
global market capitalization coverage, but this still does not imply that we can completely
reconstruct the portfolio of each individual shareholder.
For instance, 71.55% of shareholders in our dataset have only one recorded exposure,
which makes it impossible to reconstruct a portfolio for the vast majority of investors.
The following table shows a breakdown of numbers of exposures existing in the dataset
by financial actor type. For each type we list the fraction of shareholders of that type for
which we have respectively only one exposure, more than one exposure and more than
ten exposures.

Type = 1 exposure (%) > 1 exposure (%) > 10 exposures (%)

Banks 42.48% 50.88% 19.42%
Governments 52.80% 44.00% 27.20%
Individuals 79.74% 1.27% 0.01%
Industrial Companies 69.54% 14.88% 3.76%
Insurance and Pension Funds 61.69% 31.09% 8.26%
Investment Funds 53.36% 35.11% 12.61%
Other Credit Institutions 56.02% 27.96% 8.69%
Other Financial Services 53.31% 32.52% 11.78%

The table captures some genuine features of the market. For example, it stands to
reason that not too many individuals have more than one recorded exposure. Indeed,
the vast majority of individuals either have shares in their own company (e.g. Mr. Mark
Zuckerberg) or own shares through brokerage or asset management firms, so that a com-
plete portfolio cannot be reconstructed in any case and only a ”partial one” could be
extracted via Orbis.
For the reconstruction of portfolios, as in Figures 10, we used only those shareholders
with at least ten recorded exposures. This allowed us to run computations and tests only
on those shareholders’ portfolios for which we knew with greatest certainty that we had
a satisfactorily complete picture.
The following tables list the results and p-values of the Kolmogorov-Smirnov test for
each pair of financial actors and each sector.

Table 2: KS-test results and p-values for actors’ portfolios in the fossil-fuel sector.
Banks Govs Indiv ICs I&PFs IFs OCIs OFSs
Banks Y,1 N,1.85e-02 N,3.64e-72 N,1.83e-59 N,1.10e-03 N,1.30e-04 N,4.88e-05 Y,1.52e-01
Govs N,1.85e-02 Y,1 N,1.21e-19 N,7.46e-17 N,1.45e-03 N,2.46e-04 N,1.36e-04 N,7.33e-04
Indiv N,3.64e-72 N,1.21e-19 Y,1 N,9.10e-22 N,1.14e-168 N,3.05e-170 N,3.58e-14 N,9.33e-128
ICs N,1.83e-59 N,7.46e-17 N,9.10e-22 Y,1 N,3.31e-127 N,1.99e-126 N,2.81e-10 N,1.61e-100
I&PFs N,1.10e-03 N,1.45e-03 N,1.14e-168 N,3.31e-127 Y,1 Y,1.11e-01 N,2.97e-02 Y,2.03e-01
IFs N,1.30e-04 N,2.46e-04 N,3.05e-170 N,1.99e-126 Y,1.11e-01 Y,1 Y,1.36e-01 N,1.69e-02
OCIs N,4.88e-05 N,1.36e-04 N,3.58e-14 N,2.81e-10 N,2.97e-02 Y,1.36e-01 Y,1 N,3.22e-03
OFSs Y,1.52e-01 N,7.33e-04 N,9.33e-128 N,1.61e-100 Y,2.03e-01 N,1.69e-02 N,3.22e-03 Y,1

22
 Table 3: KS-test results and p-values for actors’ portfolios in the utilities sector.

Banks Govs Indiv ICs I&PFs IFs OCIs OFSs

Banks 1.00e+00 1.55e-02 5.34e-32 9.80e-28 5.88e-08 5.33e-05 1.56e-01 1.10e-04
Govs 1.55e-02 1.00e+00 1.02e-15 1.72e-14 4.81e-08 8.76e-07 1.60e-04 1.33e-06
Indiv 5.34e-32 1.02e-15 1.00e+00 1.32e-05 1.88e-27 7.17e-48 1.78e-09 7.36e-25
ICs 9.80e-28 1.72e-14 1.32e-05 1.00e+00 1.41e-19 2.58e-36 7.57e-08 4.22e-19
I&PFs 5.88e-08 4.81e-08 1.88e-27 1.41e-19 1.00e+00 1.41e-01 1.93e-01 3.97e-01
IFs 5.33e-05 8.76e-07 7.17e-48 2.58e-36 1.41e-01 1.00e+00 5.66e-01 1.00e+00
OCIs 1.56e-01 1.60e-04 1.78e-09 7.57e-08 1.93e-01 5.66e-01 1.00e+00 6.44e-01
OFSs 1.10e-04 1.33e-06 7.36e-25 4.22e-19 3.97e-01 1.00e+00 6.44e-01 1.00e+00

Table 4: KS-test results and p-values for actors’ portfolios in the energy-intensive sector.

Banks Govs Indiv ICs I&PFs IFs OCIs OFSs

Banks 1.00e+00 1.68e-01 2.55e-84 6.97e-67 2.01e-01 1.85e-01 1.50e-01 3.11e-01
Govs 1.68e-01 1.00e+00 3.59e-19 1.34e-15 5.53e-02 7.84e-03 1.24e-01 1.61e-02
Indiv 2.55e-84 3.59e-19 1.00e+00 2.77e-36 2.83e-266 0.00e+00 2.58e-43 5.63e-181
ICs 6.97e-67 1.34e-15 2.77e-36 1.00e+00 7.64e-199 5.30e-256 3.64e-34 1.53e-139
I&PFs 2.01e-01 5.53e-02 2.83e-266 7.64e-199 1.00e+00 1.19e-04 3.83e-01 7.71e-04
IFs 1.85e-01 7.84e-03 0.00e+00 5.30e-256 1.19e-04 1.00e+00 8.06e-03 1.14e-01
OCIs 1.50e-01 1.24e-01 2.58e-43 3.64e-34 3.83e-01 8.06e-03 1.00e+00 1.59e-02
OFSs 3.11e-01 1.61e-02 5.63e-181 1.53e-139 7.71e-04 1.14e-01 1.59e-02 1.00e+00

Table 5: KS-test results and p-values for actors’ portfolios in the housing sector.

Banks Govs Indiv ICs I&PFs IFs OCIs OFSs

Banks 1.00e+00 4.06e-01 6.54e-88 3.96e-72 1.98e-12 1.31e-07 1.30e-02 1.63e-06
Govs 4.06e-01 1.00e+00 1.03e-21 2.77e-18 1.09e-04 3.04e-03 2.13e-02 3.28e-03
Indiv 6.54e-88 1.03e-21 1.00e+00 1.38e-27 1.17e-122 1.45e-180 3.83e-32 2.01e-100
ICs 3.96e-72 2.77e-18 1.38e-27 1.00e+00 7.41e-85 1.21e-130 2.99e-25 3.20e-74
I&PFs 1.98e-12 1.09e-04 1.17e-122 7.41e-85 1.00e+00 2.81e-02 2.20e-02 9.23e-02
IFs 1.31e-07 3.04e-03 1.45e-180 1.21e-130 2.81e-02 1.00e+00 5.02e-01 5.83e-01
OCIs 1.30e-02 2.13e-02 3.83e-32 2.99e-25 2.20e-02 5.02e-01 1.00e+00 3.63e-01
OFSs 1.63e-06 3.28e-03 2.01e-100 3.20e-74 9.23e-02 5.83e-01 3.63e-01 1.00e+00

23
 Table 6: KS-test results and p-values for actors’ portfolios in the finance sector.

Banks Govs Indiv ICs I&PFs IFs OCIs OFSs

Banks 1.00e+00 7.18e-01 2.11e-76 7.59e-81 2.96e-04 1.51e-05 1.23e-01 9.97e-02
Govs 7.18e-01 1.00e+00 6.92e-21 3.98e-22 1.37e-02 6.65e-03 7.46e-02 2.44e-01
Indiv 2.11e-76 6.92e-21 1.00e+00 1.91e-59 4.44e-188 1.09e-197 1.76e-38 5.44e-152
ICs 7.59e-81 3.98e-22 1.91e-59 1.00e+00 5.42e-197 1.13e-206 4.18e-41 8.90e-160
I&PFs 2.96e-04 1.37e-02 4.44e-188 5.42e-197 1.00e+00 1.85e-02 1.97e-04 3.42e-04
IFs 1.51e-05 6.65e-03 1.09e-197 1.13e-206 1.85e-02 1.00e+00 2.40e-06 7.75e-06
OCIs 1.23e-01 7.46e-02 1.76e-38 4.18e-41 1.97e-04 2.40e-06 1.00e+00 1.05e-03
OFSs 9.97e-02 2.44e-01 5.44e-152 8.90e-160 3.42e-04 7.75e-06 1.05e-03 1.00e+00

Table 7: KS-test results and p-values for actors’ portfolios in the transport sector.

Banks Govs Indiv ICs I&PFs IFs OCIs OFSs

Banks 1.00e+00 9.63e-01 3.65e-51 1.14e-44 4.93e-09 1.17e-04 1.56e-02 5.65e-03
Govs 9.63e-01 1.00e+00 1.62e-10 2.85e-09 2.27e-02 2.23e-01 3.10e-01 3.69e-01
Indiv 3.65e-51 1.62e-10 1.00e+00 8.99e-08 1.07e-60 3.68e-104 4.73e-13 1.42e-66
ICs 1.14e-44 2.85e-09 8.99e-08 1.00e+00 5.27e-46 8.74e-83 8.11e-11 1.06e-54
I&PFs 4.93e-09 2.27e-02 1.07e-60 5.27e-46 1.00e+00 1.25e-02 6.26e-01 2.17e-03
IFs 1.17e-04 2.23e-01 3.68e-104 8.74e-83 1.25e-02 1.00e+00 9.99e-01 9.41e-01
OCIs 1.56e-02 3.10e-01 4.73e-13 8.11e-11 6.26e-01 9.99e-01 1.00e+00 9.99e-01
OFSs 5.65e-03 3.69e-01 1.42e-66 1.06e-54 2.17e-03 9.41e-01 9.99e-01 1.00e+00

Table 8: KS-test results and p-values for actors’ portfolios in the other sectors.

Banks Govs Indiv ICs I&PFs IFs OCIs OFSs

Banks 1.00e+00 6.25e-01 1.45e-63 6.47e-49 1.59e-02 1.05e-02 6.71e-01 1.44e-03
Govs 6.25e-01 1.00e+00 2.74e-11 1.15e-08 1.99e-01 6.84e-02 8.13e-01 3.45e-02
Indiv 1.45e-63 2.74e-11 1.00e+00 2.04e-35 5.98e-226 1.66e-262 2.31e-36 5.57e-140
ICs 6.47e-49 1.15e-08 2.04e-35 1.00e+00 2.02e-165 2.57e-193 4.16e-28 5.17e-105
I&PFs 1.59e-02 1.99e-01 5.98e-226 2.02e-165 1.00e+00 4.70e-02 2.47e-01 5.78e-03
IFs 1.05e-02 6.84e-02 1.66e-262 2.57e-193 4.70e-02 1.00e+00 6.85e-02 2.94e-01
OCIs 6.71e-01 8.13e-01 2.31e-36 4.16e-28 2.47e-01 6.85e-02 1.00e+00 1.63e-02
OFSs 1.44e-03 3.45e-02 5.57e-140 5.17e-105 5.78e-03 2.94e-01 1.63e-02 1.00e+00

24
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