Financial Risk Management and Climate Change Risk

Beschreibung

Financial risk management for institutional investors has recently grown in scope to include long-term sustainability considerations and climate change risk concerns. This book shows how a national central bank in the Eurosystem has adapted its financial risk management principles and practices against the background of non-conventional monetary policy measures and following the introduction of sustainability criteria, with a special role for carbon-neutrality. The topics covered include a market-based approach to evaluating credit risk, the development of an independent credit rating system, and the properties and limitations of agencies’ sovereign ratings. Furthermore, the book analyzes the integration of sustainability principles into strategic asset allocation and describes the use of machine learning techniques for discerning the role of the E, S and G variables in equity returns. The authors also discuss the growth of the global green bond market and the greenium, as well as thesustainability indicators for large portfolios of corporate and government securities. Given its scope, the book will appeal to all professionals working in the field who would like to know the state-of-the-art in these areas.

Financial risk management for institutional investors has recently grown in scope to include long-term sustainability considerations and climate change risk concerns. This book shows how a national central bank in the Eurosystem has adapted its financial risk management principles and practices against the background of non-conventional monetary policy measures and following the introduction of sustainability criteria, with a special role for carbon-neutrality. The topics covered include a market-based approach to evaluating credit risk, the development of an independent credit rating system, and the properties and limitations of agencies’ sovereign ratings. Furthermore, the book analyzes the integration of sustainability principles into strategic asset allocation and describes the use of machine learning techniques for discerning the role of the E, S and G variables in equity returns. The authors also discuss the growth of the global green bond market and the greenium, as well as the sustainability indicators for large portfolios of corporate and government securities. Given its scope, the book will appeal to all professionals working in the field who would like to know the state-of-the-art in these areas.

Autor*in

Antonio Scalia

Themen in »Financial Risk Management and Climate Change Risk«

Sovereign Bond Ratings Green Bonds Machine learning techniques Credit Risk Management Strategic Asset Allocation Net Zero Targets Central Banks ESG Sustainable Finance Eurosystem Collateral Policy

Stimmen zu »Financial Risk Management and Climate Change Risk«

“This collection represents a fascinating and timely case study of how one Euro-system central bank – the Banca d’Italia – has approached the quantification and management of these risks. The treatment throughout is sophisticated and draws on the latest academic thinking. Indeed, some of the analysis represents a substantial contribution to the literature in its own right. Both academics and market practitioners seeking a deeper understanding of how central banks are going about evaluating and managing the risks on their bloated balance sheets will find much to enlighten them here.” (Professor Sir Charles Bean, Department of Economics, London School of Economics)
 

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