Climate‐related credit risk: Rethinking the credit risk framework
Author
Abstract
Suggested Citation
DOI: 10.1111/1758-5899.13315
Download full text from publisher
References listed on IDEAS
- Robert F Engle & Stefano Giglio & Bryan Kelly & Heebum Lee & Johannes Stroebel, 2020.
"Hedging Climate Change News,"
The Review of Financial Studies, Society for Financial Studies, vol. 33(3), pages 1184-1216.
- Robert Engle & Stefano Giglio & Heebum Lee & Bryan Kelly & Johannes Stroebel, 2019. "Hedging climate change news," CESifo Working Paper Series 7655, CESifo.
- Robert F. Engle III & Stefano Giglio & Bryan T. Kelly & Heebum Lee & Johannes Stroebel, 2019. "Hedging Climate Change News," NBER Working Papers 25734, National Bureau of Economic Research, Inc.
- Ströbel, Johannes & Engle, Robert & Giglio, Stefano & Kelly, Bryan & Lee, Heebum, 2019. "Hedging Climate Change News," CEPR Discussion Papers 13730, C.E.P.R. Discussion Papers.
- Giovanni Catello Landi & Francesca Iandolo & Antonio Renzi & Andrea Rey, 2022. "Embedding sustainability in risk management: The impact of environmental, social, and governance ratings on corporate financial risk," Corporate Social Responsibility and Environmental Management, John Wiley & Sons, vol. 29(4), pages 1096-1107, July.
- Olaf Weber, 2012. "Environmental Credit Risk Management in Banks and Financial Service Institutions," Business Strategy and the Environment, Wiley Blackwell, vol. 21(4), pages 248-263, May.
- Jagdeep Kaur Brar & Antoine Kornprobst & Willard John Braun & Matthew Davison & Warren Hare, 2021. "A Case Study of the Impact of Climate Change on Agricultural Loan Credit Risk," Mathematics, MDPI, vol. 9(23), pages 1-23, November.
- Aracil, Elisa & Nájera-Sánchez, Juan-José & Forcadell, Francisco Javier, 2021. "Sustainable banking: A literature review and integrative framework," Finance Research Letters, Elsevier, vol. 42(C).
- Bob Buhr, 2017. "Assessing the sources of stranded asset risk: a proposed framework," Journal of Sustainable Finance & Investment, Taylor & Francis Journals, vol. 7(1), pages 37-53, January.
- Julia Anna Bingler & Chiara Colesanti Senni, 2022. "Taming the Green Swan: a criteria-based analysis to improve the understanding of climate-related financial risk assessment tools," Climate Policy, Taylor & Francis Journals, vol. 22(3), pages 356-370, March.
- Paolo Capelli & Federica Ielasi & Angeloantonio Russo, 2021. "Forecasting volatility by integrating financial risk with environmental, social, and governance risk," Corporate Social Responsibility and Environmental Management, John Wiley & Sons, vol. 28(5), pages 1483-1495, September.
- Chenet, Hugues & Ryan-Collins, Josh & van Lerven, Frank, 2021. "Finance, climate-change and radical uncertainty: Towards a precautionary approach to financial policy," Ecological Economics, Elsevier, vol. 183(C).
- Stellner, Christoph & Klein, Christian & Zwergel, Bernhard, 2015. "Corporate social responsibility and Eurozone corporate bonds: The moderating role of country sustainability," Journal of Banking & Finance, Elsevier, vol. 59(C), pages 538-549.
- Ehlers, Torsten & Packer, Frank & de Greiff, Kathrin, 2022.
"The pricing of carbon risk in syndicated loans: Which risks are priced and why?,"
Journal of Banking & Finance, Elsevier, vol. 136(C).
- Torsten Ehlers & Frank Packer & Kathrin de Greiff, 2022. "The pricing of carbon risk in syndicated loans: which risks are priced and why?," IFC Bulletins chapters, in: Bank for International Settlements (ed.), Statistics for Sustainable Finance, volume 56, Bank for International Settlements.
- Torsten Ehlers & Frank Packer & Kathrin de Greiff, 2021. "The pricing of carbon risk in syndicated loans: which risks are priced and why?," BIS Working Papers 946, Bank for International Settlements.
- Xudong An & Gary Pivo, 2020. "Green Buildings in Commercial Mortgage‐Backed Securities: The Effects of LEED and Energy Star Certification on Default Risk and Loan Terms," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 48(1), pages 7-42, March.
- Alessi, Lucia & Battiston, Stefano, 2022. "Two sides of the same coin: Green Taxonomy alignment versus transition risk in financial portfolios," International Review of Financial Analysis, Elsevier, vol. 84(C).
- Broadstock, David C. & Chan, Kalok & Cheng, Louis T.W. & Wang, Xiaowei, 2021. "The role of ESG performance during times of financial crisis: Evidence from COVID-19 in China," Finance Research Letters, Elsevier, vol. 38(C).
- Francisco Ascui & Theodor F. Cojoianu, 2019. "Implementing natural capital credit risk assessment in agricultural lending," Business Strategy and the Environment, Wiley Blackwell, vol. 28(6), pages 1234-1249, September.
- Florian Berg & Julian F Kölbel & Roberto Rigobon, 2022. "Aggregate Confusion: The Divergence of ESG Ratings [Corporate social responsibility and firm risk: theory and empirical evidence]," Review of Finance, European Finance Association, vol. 26(6), pages 1315-1344.
- Hu Mengze & Li Wei, 2015. "A Comparative Study on Environment Credit Risk Management of Commercial Banks in the Asia‐Pacific Region," Business Strategy and the Environment, Wiley Blackwell, vol. 24(3), pages 159-174, March.
- Emanuele Campiglio & Yannis Dafermos & Pierre Monnin & Josh Ryan-Collins & Guido Schotten & Misa Tanaka, 2018.
"Climate change challenges for central banks and financial regulators,"
Nature Climate Change, Nature, vol. 8(6), pages 462-468, June.
- Campiglio, Emanuele & Dafermos, Yannis & Monnin, Pierre & Ryan-Collins, Josh & Schotten, Guido & Tanaka, Misa, 2018. "Climate change challenges for central banks and financial regulators," LSE Research Online Documents on Economics 88364, London School of Economics and Political Science, LSE Library.
- Florian Barth & Benjamin Hübel & Hendrik Scholz, 2022. "ESG and corporate credit spreads," Journal of Risk Finance, Emerald Group Publishing Limited, vol. 23(2), pages 169-190, February.
- Bingler, Julia Anna & Colesanti Senni, Chiara & Monnin, Pierre, 2022. "Understand what you measure: Where climate transition risk metrics converge and why they diverge," Finance Research Letters, Elsevier, vol. 50(C).
- Muhammad Atif & Searat Ali, 2021. "Environmental, social and governance disclosure and default risk," Business Strategy and the Environment, Wiley Blackwell, vol. 30(8), pages 3937-3959, December.
- Yu, Baojun & Li, Changming & Mirza, Nawazish & Umar, Muhammad, 2022. "Forecasting credit ratings of decarbonized firms: Comparative assessment of machine learning models," Technological Forecasting and Social Change, Elsevier, vol. 174(C).
- Stefano Battiston & Antoine Mandel & Irene Monasterolo & Franziska Schütze & Gabriele Visentin, 2017.
"A climate stress-test of the financial system,"
Nature Climate Change, Nature, vol. 7(4), pages 283-288, April.
- Stefano Battiston & Antoine Mandel & Irene Monasterolo & Franziska Schütze & Gabriele Visentin, 2017. "A climate stress-test of the financial system," PSE-Ecole d'économie de Paris (Postprint) halshs-01905999, HAL.
- Stefano Battiston & Antoine Mandel & Irene Monasterolo & Franziska Schütze & Gabriele Visentin, 2017. "A climate stress-test of the financial system," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-01905999, HAL.
- Stefano Battiston & Antoine Mandel & Irene Monasterolo & Franziska Schütze & Gabriele Visentin, 2017. "A climate stress-test of the financial system," Post-Print halshs-01905999, HAL.
- Irene Monasterolo, 2020. "Climate Change and the Financial System," Annual Review of Resource Economics, Annual Reviews, vol. 12(1), pages 299-320, October.
- Jakob Thomä & Hugues Chenet, 2017. "Transition risks and market failure: a theoretical discourse on why financial models and economic agents may misprice risk related to the transition to a low-carbon economy," Journal of Sustainable Finance & Investment, Taylor & Francis Journals, vol. 7(1), pages 82-98, January.
- Andrea B. Coulson, 2009. "How should banks govern the environment? Challenging the construction of action versus veto," Business Strategy and the Environment, Wiley Blackwell, vol. 18(3), pages 149-161, March.
- Gonenc, Halit & Scholtens, Bert, 2017. "Environmental and Financial Performance of Fossil Fuel Firms: A Closer Inspection of their Interaction," Ecological Economics, Elsevier, vol. 132(C), pages 307-328.
- Theodor F. Cojoianu & Francisco Ascui, 2018. "Developing an evidence base for assessing natural capital risks and dependencies in lending to Australian wheat farms," Journal of Sustainable Finance & Investment, Taylor & Francis Journals, vol. 8(2), pages 95-113, April.
- Walch, Florian & Breitenstein, Miriam & Ciummo, Stefania, 2022. "Disclosure of climate change risk in credit ratings," Occasional Paper Series 303, European Central Bank.
- D’Orazio, Paola & Popoyan, Lilit, 2019.
"Fostering green investments and tackling climate-related financial risks: Which role for macroprudential policies?,"
Ecological Economics, Elsevier, vol. 160(C), pages 25-37.
- D'Orazio, Paola & Popoyan, Lilit, 2018. "Fostering green investments and tackling climate-related financial risks: Which role for macroprudential policies?," Ruhr Economic Papers 778, RWI - Leibniz-Institut für Wirtschaftsforschung, Ruhr-University Bochum, TU Dortmund University, University of Duisburg-Essen.
- Paola D'Orazio & Lilit Popoyan, 2018. "Fostering green investments and tackling climate-related financial risks: which role for macroprudential policies?," LEM Papers Series 2018/35, Laboratory of Economics and Management (LEM), Sant'Anna School of Advanced Studies, Pisa, Italy.
- Juhyun Jung & Kathleen Herbohn & Peter Clarkson, 2018. "Carbon Risk, Carbon Risk Awareness and the Cost of Debt Financing," Journal of Business Ethics, Springer, vol. 150(4), pages 1151-1171, July.
- Vincent Bouchet & Théo Le Guenedal, 2022. "Sensibilité du risque de crédit au prix du carbone," Revue économique, Presses de Sciences-Po, vol. 73(2), pages 151-172.
- Bai, Chunguang & Shi, Baofeng & Liu, Feng & Sarkis, Joseph, 2019. "Banking credit worthiness: Evaluating the complex relationships," Omega, Elsevier, vol. 83(C), pages 26-38.
- Sudheer Chava, 2014. "Environmental Externalities and Cost of Capital," Management Science, INFORMS, vol. 60(9), pages 2223-2247, September.
- Olaf Weber, 2005. "Sustainability benchmarking of European banks and financial service organizations," Corporate Social Responsibility and Environmental Management, John Wiley & Sons, vol. 12(2), pages 73-87, June.
- Olaf Weber & Roland W. Scholz & Georg Michalik, 2010. "Incorporating sustainability criteria into credit risk management," Business Strategy and the Environment, Wiley Blackwell, vol. 19(1), pages 39-50, January.
- André Höck & Christian Klein & Alexander Landau & Bernhard Zwergel, 2020. "The effect of environmental sustainability on credit risk," Journal of Asset Management, Palgrave Macmillan, vol. 21(2), pages 85-93, March.
- Serhan Cevik & João Tovar Jalles, 2022.
"An Apocalypse Foretold: Climate Shocks and Sovereign Defaults,"
Open Economies Review, Springer, vol. 33(1), pages 89-108, February.
- Mr. Serhan Cevik & João Tovar Jalles, 2020. "An Apocalypse Foretold: Climate Shocks and Sovereign Defaults," IMF Working Papers 2020/231, International Monetary Fund.
- Kabir, Md Nurul & Rahman, Sohanur & Rahman, Md Arifur & Anwar, Mumtaheena, 2021. "Carbon emissions and default risk: International evidence from firm-level data," Economic Modelling, Elsevier, vol. 103(C).
- Danilo Drago & Concetta Carnevale & Raffaele Gallo, 2019. "Do corporate social responsibility ratings affect credit default swap spreads?," Corporate Social Responsibility and Environmental Management, John Wiley & Sons, vol. 26(3), pages 644-652, May.
- Henry He Huang & Joseph Kerstein & Chong Wang & Feng (Harry) Wu, 2022. "Firm climate risk, risk management, and bank loan financing," Strategic Management Journal, Wiley Blackwell, vol. 43(13), pages 2849-2880, December.
- SAIDANE, Dhafer & ABDALLAH, Sana BEN, 2021. "African firm default risk and CSR," Finance Research Letters, Elsevier, vol. 43(C).
- Hermine Van Coppenolle & Mathieu Blondeel & Thijs Van de Graaf, 2023. "Reframing the climate debate: The origins and diffusion of net zero pledges," Global Policy, London School of Economics and Political Science, vol. 14(1), pages 48-60, February.
- Maria J. Nieto, 2019. "Banks, climate risk and financial stability," Journal of Financial Regulation and Compliance, Emerald Group Publishing Limited, vol. 27(2), pages 243-262, May.
- Julian F. Kölbel & Timo Busch & Leonhardt M. Jancso, 2017. "How Media Coverage of Corporate Social Irresponsibility Increases Financial Risk," Strategic Management Journal, Wiley Blackwell, vol. 38(11), pages 2266-2284, November.
- Giuliana Birindelli & Graziella Bonanno & Stefano Dell'Atti & Antonia Patrizia Iannuzzi, 2022. "Climate change commitment, credit risk and the country's environmental performance: Empirical evidence from a sample of international banks," Business Strategy and the Environment, Wiley Blackwell, vol. 31(4), pages 1641-1655, May.
- Vermeulen, Robert & Schets, Edo & Lohuis, Melanie & Kölbl, Barbara & Jansen, David-Jan & Heeringa, Willem, 2021. "The heat is on: A framework for measuring financial stress under disruptive energy transition scenarios," Ecological Economics, Elsevier, vol. 190(C).
- Nandy, Monomita & Lodh, Suman, 2012. "Do banks value the eco-friendliness of firms in their corporate lending decision? Some empirical evidence," International Review of Financial Analysis, Elsevier, vol. 25(C), pages 83-93.
- Monasterolo, Irene & Roventini, Andrea & Foxon, Tim J., 2019. "Uncertainty of climate policies and implications for economics and finance: An evolutionary economics approach," Ecological Economics, Elsevier, vol. 163(C), pages 177-182.
Most related items
These are the items that most often cite the same works as this one and are cited by the same works as this one.- Meles, Antonio & Salerno, Dario & Sampagnaro, Gabriele & Verdoliva, Vincenzo & Zhang, Jianing, 2023. "The influence of green innovation on default risk: Evidence from Europe," International Review of Economics & Finance, Elsevier, vol. 84(C), pages 692-710.
- Daniel Ramos-García & Carmen López-Martín & Raquel Arguedas-Sanz, 2023. "Climate transition risk in determining credit risk: evidence from firms listed on the STOXX Europe 600 index," Empirical Economics, Springer, vol. 65(5), pages 2091-2114, November.
- Miriam Breitenstein & Duc Khuong Nguyen & Thomas Walther, 2021.
"Environmental Hazards And Risk Management In The Financial Sector: A Systematic Literature Review,"
Journal of Economic Surveys, Wiley Blackwell, vol. 35(2), pages 512-538, April.
- Miriam Breitenstein & Duc Khuong Nguyen & Thomas Walther, 2019. "Environmental Hazards and Risk Management in the Financial Sector: A Systematic Literature Review," Working Papers on Finance 1910, University of St. Gallen, School of Finance.
- Birindelli, Giuliana & Dell’Atti, Stefano & Di Tommaso, Caterina & Iannuzzi, Antonia Patrizia & Pacelli, Vincenzo, 2024. "The impact of banks’ climate engagement on systemic risk. Does committing a little or a lot make a difference?," Research in International Business and Finance, Elsevier, vol. 70(PB).
- Gregor Semieniuk & Emanuele Campiglio & Jean‐Francois Mercure & Ulrich Volz & Neil R. Edwards, 2021.
"Low‐carbon transition risks for finance,"
Wiley Interdisciplinary Reviews: Climate Change, John Wiley & Sons, vol. 12(1), January.
- Gregor Semieniuk & Emanuele Campiglio & Jean-Francois Mercure & Ulrich Volz & Neil R. Edwards, 2020. "Low-carbon transition risks for finance," Working Papers 233, Department of Economics, SOAS University of London, UK.
- Giuliana Birindelli & Graziella Bonanno & Stefano Dell'Atti & Antonia Patrizia Iannuzzi, 2022. "Climate change commitment, credit risk and the country's environmental performance: Empirical evidence from a sample of international banks," Business Strategy and the Environment, Wiley Blackwell, vol. 31(4), pages 1641-1655, May.
- Mirza, Nawazish & Umar, Muhammad & Horobet, Alexandra & Boubaker, Sabri, 2024. "Effects of climate change and technological capex on credit risk cycles in the European Union," Technological Forecasting and Social Change, Elsevier, vol. 204(C).
- Hummel, Katrin & Laun, Ute & Krauss, Annette, 2021. "Management of environmental and social risks and topics in the banking sector - An empirical investigation," The British Accounting Review, Elsevier, vol. 53(1).
- Lutfi Abdul Razak & Mansor H. Ibrahim & Adam Ng, 2020. "Which Sustainability Dimensions Affect Credit Risk? Evidence from Corporate and Country-Level Measures," JRFM, MDPI, vol. 13(12), pages 1-22, December.
- Lamperti, Francesco & Bosetti, Valentina & Roventini, Andrea & Tavoni, Massimo & Treibich, Tania, 2021.
"Three green financial policies to address climate risks,"
Journal of Financial Stability, Elsevier, vol. 54(C).
- Francesco Lamperti & Valentina Bosetti & Andrea Roventini & Massimo Tavoni & Tania Treibich, 2021. "Three green financial policies to address climate risks," LEM Papers Series 2021/05, Laboratory of Economics and Management (LEM), Sant'Anna School of Advanced Studies, Pisa, Italy.
- Francesco Lamperti & Valentina Bosetti & Andrea Roventini & Massimo Tavoni & Tania Treibich, 2021. "Three green financial policies to address climate risks," Post-Print hal-04103920, HAL.
- Francesco Lamperti & Valentina Bosetti & Andrea Roventini & Massimo Tavoni & Tania Treibich, 2021. "Three green financial policies to address climate risks," SciencePo Working papers Main hal-04103920, HAL.
- Ballester, Laura & González-Urteaga, Ana & Shen, Long, 2024. "Green bond issuance and credit risk: International evidence," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 94(C).
- D'Orazio, Paola & Hertel, Tobias & Kasbrink, Fynn, 2022. "No need to worry? Estimating the exposure of the German banking sector to climate-related transition risks," Ruhr Economic Papers 946, RWI - Leibniz-Institut für Wirtschaftsforschung, Ruhr-University Bochum, TU Dortmund University, University of Duisburg-Essen.
- Toma, Pierluigi & Stefanelli, Valeria, 2022. "What are the banks doing in managing climate risk? Empirical evidence from a position map," Ecological Economics, Elsevier, vol. 200(C).
- Deng, Xiang & Li, Weihao & Ren, Xiaohang, 2023. "More sustainable, more productive: Evidence from ESG ratings and total factor productivity among listed Chinese firms," Finance Research Letters, Elsevier, vol. 51(C).
- Chaudhry, Neeru & Kumari, Damini, 2024. "How do banks price carbon risk? Evidence from India," Pacific-Basin Finance Journal, Elsevier, vol. 84(C).
- Carnevale, Concetta & Drago, Danilo, 2024. "Do banks price ESG risks? A critical review of empirical research," Research in International Business and Finance, Elsevier, vol. 69(C).
- Wang, Chao & Li, Mengyu & Liu, Xiaoxing, 2024. "Does credit carbon exposure affect banks' profits and risks? Evidence from China," Applied Energy, Elsevier, vol. 370(C).
- Nguyen, Justin Hung & Shi, Jing, 2021. "Are banks really special? Evidence from a natural experiment," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 72(C).
- Francisco Ascui & Theodor F. Cojoianu, 2019. "Implementing natural capital credit risk assessment in agricultural lending," Business Strategy and the Environment, Wiley Blackwell, vol. 28(6), pages 1234-1249, September.
- Nguyen, Quyen & Diaz-Rainey, Ivan & Kuruppuarachchi, Duminda & McCarten, Matthew & Tan, Eric K.M., 2023. "Climate transition risk in U.S. loan portfolios: Are all banks the same?," International Review of Financial Analysis, Elsevier, vol. 85(C).
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:bla:glopol:v:15:y:2024:i:s1:p:21-33. 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.
If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with 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: Wiley Content Delivery (email available below). General contact details of provider: https://edirc.repec.org/data/lsepsuk.html .
Please note that corrections may take a couple of weeks to filter through the various RePEc services.