IDEAS home Printed from https://ideas.repec.org/p/bdi/wpmisp/mip_015_21.html
   My bibliography  Save this paper

Climate and environmental risks: measuring the exposure of investments

Author

Listed:
  • Enrico Bernardini

    (Bank of Italy)

  • Johnny Di Giampaolo

    (Bank of Italy)

  • Ivan Faiella

    (Bank of Italy)

  • Marco Fruzzetti

    (Bank of Italy)

  • Simone Letta

    (Bank of Italy)

  • Raffaele Loffredo

    (Bank of Italy)

  • Davide Nasti

    (Bank of Italy)

Abstract

This paper presents a number of methodologies for assessing the climate risk exposure of several financial asset classes. Regarding government bonds, the paper proposes using public information; in order to develop forward-looking measures of countries’ risk exposure, the paper uses historical trends combined with governments’ climate commitments and the scenarios developed by the Network for Greening the Financial System. With regard to private sector issuers, the paper finds quite a high coverage and correlation amongst the carbon emissions data from different providers, while the divergences in the data for other environmental indicators are still significant. Finally, the paper shows that the application of sustainability criteria in the Bank of Italy’s investment strategy delivered a non-negligible reduction in the exposure to the climate and environmental risks of the portfolios.

Suggested Citation

  • Enrico Bernardini & Johnny Di Giampaolo & Ivan Faiella & Marco Fruzzetti & Simone Letta & Raffaele Loffredo & Davide Nasti, 2021. "Climate and environmental risks: measuring the exposure of investments," Mercati, infrastrutture, sistemi di pagamento (Markets, Infrastructures, Payment Systems) 15, Bank of Italy, Directorate General for Markets and Payment System.
    • Handle: RePEc:bdi:wpmisp:mip_015_21
    as

    Download full text from publisher

    File URL: https://www.bancaditalia.it/pubblicazioni/mercati-infrastrutture-e-sistemi-di-pagamento/approfondimenti/2021-015/N.15-MISP.pdf
    Download Restriction: no
    ---><---

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Carè, R. & Weber, O., 2023. "How much finance is in climate finance? A bibliometric review, critiques, and future research directions," Research in International Business and Finance, Elsevier, vol. 64(C).
    2. Luciano Lavecchia & Jacopo Appodia & Paolo Cantatore & Rita Cappariello & Stefano Di Virgilio & Alberto Felettigh & Andrea Giustini & Valeria Guberti & Danilo Liberati & Giorgio Meucci & Stefano Pierm, 2022. "Data and methods to evaluate climate-related and environmental risks in Italy," Questioni di Economia e Finanza (Occasional Papers) 732, Bank of Italy, Economic Research and International Relations Area.

    More about this item

    Keywords

    sustainable finance; investments; climate risks; environmental risks;
    All these keywords.

    JEL classification:

    • E58 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Central Banks and Their Policies
    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • Q56 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Environmental Economics - - - Environment and Development; Environment and Trade; Sustainability; Environmental Accounts and Accounting; Environmental Equity; Population Growth

    NEP fields

    This paper has been announced in the following NEP Reports:

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:bdi:wpmisp:mip_015_21. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: the person in charge (email available below). General contact details of provider: https://edirc.repec.org/data/bdigvit.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.