Seminario “On the dependence of investor’s probability of default on climate transition scenarios”

Il 29 gennaio 2021 alle 15:00 si terrà il seminario online dal titolo

On the dependence of investor’s probability of default on climate transition scenarios


  • Prof. Irene Monasterolo
    (Boston University; Vienna University of Economics and Business)
  • Michelangelo Bruno (Banca d’Italia)

Il seminario si svolgerà sulla piattaforma Microsoft Teams al seguente link:

L’evento è organizzato nell’ambito del Jean Monnet Project “Assessing the EU Strategy on Green Finance and ESG factors (AEU_GF)” co-finanziato dalla Commissione Europea, responsabile Prof. Luca Spataro (numero progetto:620016-EPP-1-2020-1-IT-EPPJMO-PROJECT) ed è parte del progetto PRA dell’Università di Pisa (PRA PROJECT 2020-52 “Shaky capitalism: How business and finance respond to global threats”).

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Abstract del paper:

Climate risk brings about a new type of financial risk that standard approaches to risk management are not adequate to handle. Amidst the growing concern about climate change, financial supervisors and risk managers are concerned with the risk of a disorderly low-carbon transition.

We develop a model to compute i) the valuation adjustment of corporate bonds, depending both on climate transition risk scenarios and on companies’ shares of revenues across low/high-carbon activities, and ii) the corresponding adjustments of an investor’s Expected Shortfall and probability of default.

Implications for climate financial risk management include that climate stress test exercises should allow for a wide enough set of scenarios in order to limit the underestimation of losses.

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