ESG risks: how to add these risks to internal models with a particular focus on credit risk

Dell'Isola, Alighiero (A.A. 2020/2021) ESG risks: how to add these risks to internal models with a particular focus on credit risk. Tesi di Laurea in Risk management, Luiss Guido Carli, relatore Daniele Penza, pp. 94. [Master's Degree Thesis]

Full text for this thesis not available from the repository.


ESG: what they are and the action plan of the European Union. The inteventions of the European commission. The EU roadmap towards the action plan. The taxonomy. EBA consultation on disclosure rules regarding ESG factors. EBA guidelines on loan origination and monitoring. Meeting between sustainable development and the financial dimension. ESG risk and risk management framework. Governance factors. Risk management factor. Physical and transition risks. Quantitative and qualitative mothod to assesess ESG risks. Integration into risk processes. Climate risk stress test. Integration of ESG risks in credit risk assessment. Governing the transition to ESG logics in banks. Evolution of the risk governance framework in the light of ESG factors. Portfolio valuation approaches. Integration of ESG profiles in internal models of credit risk analysis. ESG factors and credit risk. ESG factors and credit risk: an expert-based approach.


Bibliografia: pp. 84-85.

Thesis Type: Master's Degree Thesis
Institution: Luiss Guido Carli
Degree Program: Master's Degree Programs > Master's Degree program in Corporate Finance, English language (LM-77)
Chair: Risk management
Thesis Supervisor: Penza, Daniele
Thesis Co-Supervisor: Cerri, Francesco
Academic Year: 2020/2021
Session: Extraordinary
Deposited by: Alessandro Perfetti
Date Deposited: 25 Aug 2022 13:26
Last Modified: 25 Aug 2022 13:26


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