to force banks to develop adequate internal risk management procedures while taking a largely agnostic approach as to … downplay risk, while large financial institutions gain a significant advantage and the distribution of responsibility between …-grained guidance on how banks should evaluate climate risk. Although we broadly think this approach is the more effective route to …

; (iii) a novel set of climate-specific models to capture the direct and indirect transmission channels of climate risk …

We examine the existence of physical and transition climate risk premia in euro area equity markets. To do so, we … develop two novel physical and transition risk indicators, based on text analysis, which are then used to gauge the presence … of climate risk premia. Results suggest that climate risk premia for both, transition and physical climate risk, have …

The aim of this work is to introduce an innovative methodology for performing risk attribution within a multifactor … risk framework. We applied this analysis to the assessment of systemic, climate, and geopolitical risks relative to a … the combined risk to each factor and to the effect of their interaction by employing our proposed frequency-based approach …

This paper explores how the need to transition to a low-carbon economy influences firm credit risk. It develops a novel … forward-looking emission reduction targets, thereby providing a rich picture of firms' climate-related transition risk … firms' credit risk: credit ratings and the market-implied distance-to-default. High emissions tend to be associated with …

This paper explores how the need to transition to a low-carbon economy influences credit risk. It develops a novel … dataset covering firms' greenhouse gas emissions over time alongside information on strategies for managing transition risk … risk. But disclosing emissions and setting emission reduction targets are associated with lower credit risk, with the …

This paper aims to assess the level of credit risk (from the perspective of default risk) among Polish households … associated with the physical risks of climate change. In order to determine the potential impact of the physical risk of climate … change on household credit risk, we conducted CAWI interviews with 1,006 borrowers residing in different Polish voivodeships …