Energy Beyond Emissions: What Does the Carbon Disclosure Project Reveal?

Insured losses from climate-related hazards have exceeded $100 billion annually for six consecutive years through 2025, underscoring the growing materiality of physical climate risks, while the materiality of transition risks remains uncertain amid weakening regulatory momentum in the EU and the United States. This paper argues that climate risk perception is a key analytical dimension shaping firms' strategic responses to the low-carbon transition, making it crucial to understand how the corporate sector perceives climate risks, beyond policy risk alone. Focusing on the energy sector, we distinguish between oil & gas firms and electric utilities, for which the transition implies fundamentally different exposures. Using TCFD-consistent Carbon Disclosure Project (CDP) disclosures from 2018–2024, we construct a Climate Risk Exposure Index (CREI) that captures perceived exposure to policy, market, reputation, and physical risks. Based on these indices, we find a generally low level of perceived exposure to climate risk, except for policy risks. We then investigate the main determinants of measured climate risk exposure, complementing CDP disclosures with firm-level data from the Global Oil & Gas Exit List and the Global Coal Exit List, as well as country-level indicators. Employing a two-step double-hurdle model on an unbalanced panel of 164 firms, we jointly model the likelihood of risk disclosure and the intensity of perceived exposure conditional on disclosure. Our results indicate that the relative share of green and brown activities and firms' macroeconomic environment shape the likelihood of risk disclosure, while climate opportunities, geographic location, and internal climate management practices emerge as key determinants of perceived risk intensity.