Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/268047 
Year of Publication: 
2022
Series/Report no.: 
ECB Occasional Paper No. 303
Publisher: 
European Central Bank (ECB), Frankfurt a. M.
Abstract: 
Climate change can be a source of financial risk. This paper examines how credit rating agencies accepted by the Eurosystem incorporate climate change risk in their credit ratings. It also analyses how rating agencies disclose their assessments of climate change risks to rating users. The paper develops an analytical framework to compare the agencies' definitions, methodologies, assessment models, data usage and disclosure practices. The paper reveals large differences in methodologies and disclosure practices across rating agencies and asset classes. The authors identify three main areas for improvement with respect to climate-related disclosures. These areas concern the level of granularity of definitions of climate change risk, the transparency around models and methods used to estimate the exposure to climate change risk and the disclosure of the magnitude of the impact of material climate change risk on credit ratings.
Subjects: 
climate change
monetary policy
risk management
credit risk
creditrating agencies
JEL: 
E52
E58
G24
G32
Q54
Persistent Identifier of the first edition: 
ISBN: 
978-92-899-5244-6
Document Type: 
Research Report

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