A self-interested actor is supposed to take in all of those risks, factor them in and make rational decisions. If that always worked, we wouldn't have the tragedy of the commons and we wouldn't have government regulators. OSFI wouldn't be there for any of the traditional risks because they would already be factored in. However, we do have market failures, such as externalities that occur, and usually a regulator or a self-regulating body will come in to try to address those sorts of things. OSFI has been doing that for years, obviously, because banks are important to Canada's economy and we don't want to see them fail, so they're there to stabilize the macroprudential framework.
Climate is just the most recent identifiable risk, along with other things, like cybersecurity and so on, that have surfaced and have to be factored in. Will the market factor them in perfectly efficiently and avoid market failures without a regulator like OSFI? That's an interesting question. You'd have to ask an economist about that, an expert in the field.