In this paper we analyze whether and how a central bank can pursue the objective to lower its exposure to climate-related financial risks in its asset purchase programs while meeting the criteria that define the eligible universe of assets, including market neutrality. Despite focusing on the...

Climate change has been recently recognised as a new source of risk for the financial system. Several financial supervisors with a financial stability mandate have recently recommended that investors and financial institutions need to assess their exposure to climate-related financial risks and...

Aligning finance to sustainability requires methodologies to price forward-looking climate risks and opportunities in financial contracts and in investors' portfolios. Traditional approaches to financial pricing models cannot incorporate the nature of climate risk (i.e. deep uncertainty,...

We develop a methodological framework for asset-level climate physical risk assessment that connects for the first time asset-level information (financial, extra-financial and climate), to firms’ revenues, macroeconomic dynamics, financial valuation and investor’s risk. We combine the acute...

We propose a mapping from NACE codes of economic activities, into Climate Policy Relevant Sectors (CPRS) and into the variables of the process-based Integrated Assessment Models (IAM) used by the Network for Greening the Financial System (NGFS) to provide its climate scenarios. We discuss the...

In 2015, 196 Parties adopted the Paris Agreement to limit global warming to well below 2 degrees C compared to pre-industrial levels, and to achieve a low-carbon world by 2050. Revisions to international finance investment strategies are expected to be the mainstay of this ambitious objective....

We characterize the evolution over time of a network of credit relations among financial agents as a system of coupled stochastic processes. Each process describes the dynamics of individual financial robustness, while the coupling results from a network of liabilities among agents. The average...