Financial Risk Management and Climate Change Risk: The Experience in a Central Bank
Gespeichert in:
| 1. Verfasser: | |
|---|---|
| Format: | Elektronisch E-Book |
| Sprache: | English |
| Veröffentlicht: |
Cham
Springer
2023
|
| Ausgabe: | 1st ed |
| Schriftenreihe: | Contributions to Finance and Accounting Series
|
| Schlagworte: | |
| Online-Zugang: | DE-2070s |
| Beschreibung: | Description based on publisher supplied metadata and other sources |
| Beschreibung: | 1 Online-Ressource (323 Seiten) |
| ISBN: | 9783031338823 |
Internformat
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| 245 | 1 | 0 | |a Financial Risk Management and Climate Change Risk |b The Experience in a Central Bank |
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| 490 | 0 | |a Contributions to Finance and Accounting Series | |
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| 505 | 8 | |a Intro -- Foreword -- Acknowledgements -- Contents -- Editor and Contributors -- Financial Risk Management and Climate Change Risk -- References -- Part I: Monetary Policy and Financial Risk Management -- The Cost of Unconventional Monetary Policy Measures. A Risk Manager's Perspective -- 1 Introduction -- 2 Data -- 2.1 Exposure -- 2.2 Probability of Default -- 3 Methodology -- 3.1 Calculation of Losses -- 3.2 Simulation -- 3.3 Calibration -- 4 Results -- 4.1 Securities Market Programme (SMP) -- 4.2 Outright Monetary Transactions (OMT) -- 4.3 Asset Purchase Programme (APP) -- 4.4 Pandemic Emergency Purchase Programme (PEPP) -- 4.5 Trasmission Protection Instrument (TPI) -- 5 Conclusions -- Appendix -- A. Robustness Analysis -- B. Further Methodology Details -- Simulation of Collateral -- ELA Operations -- Probability of Default for Covered Bonds and ABS -- C. Dataset and Software -- References -- The Eurosystem Collateral Framework and the Measures Introduced in Response to the Pandemic Emergency -- 1 The Role of Collateral in Monetary Policy Transmission -- 2 The Eligibility Criteria for Collateral and the Credit Assessment Sources -- 3 The Risk Control Framework -- 4 The Use of Credit Claims as Collateral for Eurosystem Credit Operations -- 5 The Measures Adopted by the ECB During the Covid-19 Crisis -- 6 The Expansion of the Bank of Italy's ACC Framework in Response to the Covid-19 Emergency -- 7 The Effects of the Collateral Easing Measures in Italy -- 8 The Benefits and Costs for Italian Counterparties -- 9 The Gradual Phasing-Out of the Pandemic Collateral Easing Measures -- References -- Sovereign Ratings -- 1 Introduction -- 2 Italian Sovereign Ratings: An Overview -- 3 Sovereign Rating Methodologies -- 3.1 Models, Indicators, Rules -- 3.2 Membership of a Monetary Union -- 4 The Drivers of the Ratings Assigned to Italy | |
| 505 | 8 | |a 4.1 The Quantitative and Qualitative Drivers of Sovereign Ratings for Italy -- 4.2 Comparison Across Italy's Model Ratings -- 4.3 Factors Potentially Underweighted in the Four Agencies' Analyses -- 4.4 Official vs. Model Ratings for Euro Area Countries -- 5 Conclusion -- Annex 1 -- Annex 2 -- Annex 3 -- Annex 4 -- References -- The Bank of Italy's In-House Credit Assessment System for Non-financial Firms -- 1 The Bank of Italy's ICAS -- 2 The Eurosystem Credit Quality Standards -- 3 Bank of Italy's In-House Credit Assessment System's Architecture -- 3.1 Aims and Governance of the System -- 3.2 Definition of Default -- 3.3 Input Data and Collection Process -- 4 The BI-ICAS Process for Calculating the PD -- 4.1 The Statistical Model -- 4.2 The Expert Assessment -- 5 The Model Validation -- 5.1 The Role of the Validation -- 5.2 Expert System Validation -- 5.3 Bank of Italy's Internal Backtesting Analysis: Results for 2021 -- 6 Usage, Coverage and Rating Distribution of BI-ICAS System -- 6.1 Main Features of the Companies Assessed by BI-ICAS with a Full Rating -- 6.2 The Evolution of Credit Risk Across Firms Assessed with BI-ICAS -- 6.3 The Contribution of BI-ICAS to Monetary Policy Refinancing in the Covid-19 Crisis -- 7 Conclusions -- Appendix 1 -- Statistical Module Validation -- Discriminating Power Analysis -- Predictive Power Analysis -- Appendix 2 -- Validation Analysis of the Expert Module -- Effects of the Expert System on the Risk Classes Attributed by the Statistical System -- Influence of the Six Analysis Profiles on the Final Judgment for All Analysts -- Role of the Second Analyst -- Relationship Between the Expert System and the Statistical Risk Class 12 Months Later -- Differences in the Behaviour of the Analysts in Judging the Profiles and in Assigning the Final Ratings -- Analysis of Defaults -- References | |
| 505 | 8 | |a The Role of Rating Agencies: Implications for the Financial System and Central Banks' Efforts to Reduce their Reliance -- 1 Credit Ratings, the Financial System and Monetary Policy: An Overview -- 2 The Impact of Rating Actions on the Financial System and the Real Economy -- 2.1 Sovereign Issuers -- 2.2 Banks -- 2.3 Insurance Companies and Asset Managers -- 2.4 Central Counterparties and Collateralised Markets -- 2.5 Non-financial Companies -- 3 Reducing the Eurosystem's Reliance on Credit Rating Agencies: Progress Made So Far -- 3.1 The Role of Credit Ratings in the Eurosystem's Collateral Framework -- 3.2 The Use of Credit Ratings for Monetary Policy by Other Major Central Banks and Recent Changes in Response to the Covid-19 ... -- 3.3 The Recent Policy Debate -- 3.4 Reducing Reliance on Credit Rating Agencies: Progress Made So Far by the Eurosystem -- References -- The Incorporation of Climate Change Risk in the Eurosystem Monetary Policy Framework and the Decarbonisation of the Corporate ... -- 1 Introduction -- 2 Climate Change Considerations in the ECB's Monetary Policy Strategy (July 2021) -- 3 The Measures to Incorporate Climate Change into the Eurosystem's Monetary Policy Operations (July 2022) -- 3.1 The Acceptance of Sustainability-Linked Bonds as Collateral -- 3.2 The Introduction of Collateral Pool Limits for Issuers with a Large Carbon Footprint -- 3.3 Disclosure Requirements for Collateral -- 3.4 Risk Assessment and Management -- 4 The Actions Aimed at Decarbonising Corporate Bond Holdings -- 4.1 Communication -- 5 Conclusions -- References -- Part II: The Integration of Climate Change in Financial Risk Management -- The Commitment to Sustainability in Financial Investments -- 1 The Concept of Sustainability -- 2 The Threat of Climate Change -- 3 The Relevance of Sustainability for Financial Investments | |
| 505 | 8 | |a 4 The Main Initiatives of International and European Authorities Toward Sustainable Finance -- 5 Trends in Sustainable Finance -- 6 Climate Risks and the Role of Central Banks -- 7 Central Bank Initiatives -- 8 The Bank of Italy as a Sustainable Investor -- 9 Conclusions -- References -- The Strategic Allocation and Sustainability of Central Bank Investments -- 1 The Strategic Asset Allocation -- 2 Capital, Investments, and the Integrated Balance Sheet -- 3 The Scenario Generation Model -- 3.1 Methodology -- 3.2 The SAA Simulation Model -- 4 Portfolio Optimization -- 4.1 The Objective Function -- 4.2 Optimization Constraints -- 5 The SAA: An Application -- 6 Sustainability Principles and Investment Decisions: The Experience of the Bank of Italy -- 6.1 The Integration of Sustainability Principles -- 6.2 Sustainability in the Management of Securities Issued by the Private Sector -- 7 Conclusions -- Appendix: The Evolution of the Bank of Italy's Financial Assets -- References -- Machine Learning, ESG Indicators, and Sustainable Investment -- 1 Introduction -- 2 Literature Review -- 2.1 Risk Factors for Equity Returns -- 2.2 Sustainable Investment: Foundations and Issues -- 2.3 ESG: The Silver Bullet for Sustainable Investment? -- 2.4 Machine Learning in Finance -- 3 Data -- 3.1 Returns and Indices -- 3.2 ESG Data -- Refinitiv-Asset 4 -- MSCI -- 3.3 First Trials with Standard Approaches -- 4 A Tailored Machine Learning Approach -- 4.1 The Proposed Approach -- 4.2 Tree-Based Approach, the General Idea -- 4.3 Training the Trees -- 5 Results -- 5.1 Results for ESG Indicators -- 5.2 Results for Environmental Indicators -- 6 Conclusions -- Appendices -- Appendix 1: Portfolios Obtained with ESG Indicators -- Appendix 2: Portfolios Obtained with Environmental Indicators -- References -- The Global Green Bond Market -- 1 Introduction -- 2 Literature Review | |
| 505 | 8 | |a 3 Data -- 3.1 Identification of ESG Bonds -- 3.2 Information on Securities -- 4 ESG Bond Supply -- 5 Italian Residents' Holdings of ESG Bonds -- 6 ESG Bond Yields and the Greenium Puzzle -- 7 Conclusions -- Appendix: Information Sources -- References -- The Exposure of Investments to Climate and Environmental Risks -- 1 Introduction -- 2 The Exposure of Government Bonds to Climate and Environmental Risks -- 2.1 Backward-Looking Indicators: Emissions and the Energy System -- 2.2 Forward-Looking Indicators: From Historical Emissions to Decarbonization Scenarios -- 2.3 Environmental Risk Exposure Indicators -- 2.4 The Climate and Environmental Indicators for Some Countries -- 3 Climate and Environmental Indicators for Corporate Sector Entities -- 4 The Carbon Footprint and Exposure of Financial Portfolios -- 5 The Climate and Environmental Risk Exposure of the Bank of Italy's Investments -- 5.1 The Bank of Italy's Foreign Reserves and Investment Portfolio: Objectives and Composition -- 5.2 Government Bonds -- 5.3 Corporate Sector Securities -- 6 Conclusions -- References -- Disclaimers -- Glossary and Abbreviations | |
| 650 | 4 | |a Climatic changes-Risk management | |
| 650 | 4 | |a Financial risk management | |
| 776 | 0 | 8 | |i Erscheint auch als |n Druck-Ausgabe |a Scalia, Antonio |t Financial Risk Management and Climate Change Risk |d Cham : Springer,c2023 |z 9783031338816 |
| 912 | |a ZDB-30-PQE | ||
| 943 | 1 | |a oai:aleph.bib-bvb.de:BVB01-035437799 | |
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Datensatz im Suchindex
| _version_ | 1818760560690331648 |
|---|---|
| adam_text | |
| any_adam_object | |
| author | Scalia, Antonio |
| author_facet | Scalia, Antonio |
| author_role | aut |
| author_sort | Scalia, Antonio |
| author_variant | a s as |
| building | Verbundindex |
| bvnumber | BV050100637 |
| collection | ZDB-30-PQE |
| contents | Intro -- Foreword -- Acknowledgements -- Contents -- Editor and Contributors -- Financial Risk Management and Climate Change Risk -- References -- Part I: Monetary Policy and Financial Risk Management -- The Cost of Unconventional Monetary Policy Measures. A Risk Manager's Perspective -- 1 Introduction -- 2 Data -- 2.1 Exposure -- 2.2 Probability of Default -- 3 Methodology -- 3.1 Calculation of Losses -- 3.2 Simulation -- 3.3 Calibration -- 4 Results -- 4.1 Securities Market Programme (SMP) -- 4.2 Outright Monetary Transactions (OMT) -- 4.3 Asset Purchase Programme (APP) -- 4.4 Pandemic Emergency Purchase Programme (PEPP) -- 4.5 Trasmission Protection Instrument (TPI) -- 5 Conclusions -- Appendix -- A. Robustness Analysis -- B. Further Methodology Details -- Simulation of Collateral -- ELA Operations -- Probability of Default for Covered Bonds and ABS -- C. Dataset and Software -- References -- The Eurosystem Collateral Framework and the Measures Introduced in Response to the Pandemic Emergency -- 1 The Role of Collateral in Monetary Policy Transmission -- 2 The Eligibility Criteria for Collateral and the Credit Assessment Sources -- 3 The Risk Control Framework -- 4 The Use of Credit Claims as Collateral for Eurosystem Credit Operations -- 5 The Measures Adopted by the ECB During the Covid-19 Crisis -- 6 The Expansion of the Bank of Italy's ACC Framework in Response to the Covid-19 Emergency -- 7 The Effects of the Collateral Easing Measures in Italy -- 8 The Benefits and Costs for Italian Counterparties -- 9 The Gradual Phasing-Out of the Pandemic Collateral Easing Measures -- References -- Sovereign Ratings -- 1 Introduction -- 2 Italian Sovereign Ratings: An Overview -- 3 Sovereign Rating Methodologies -- 3.1 Models, Indicators, Rules -- 3.2 Membership of a Monetary Union -- 4 The Drivers of the Ratings Assigned to Italy 4.1 The Quantitative and Qualitative Drivers of Sovereign Ratings for Italy -- 4.2 Comparison Across Italy's Model Ratings -- 4.3 Factors Potentially Underweighted in the Four Agencies' Analyses -- 4.4 Official vs. Model Ratings for Euro Area Countries -- 5 Conclusion -- Annex 1 -- Annex 2 -- Annex 3 -- Annex 4 -- References -- The Bank of Italy's In-House Credit Assessment System for Non-financial Firms -- 1 The Bank of Italy's ICAS -- 2 The Eurosystem Credit Quality Standards -- 3 Bank of Italy's In-House Credit Assessment System's Architecture -- 3.1 Aims and Governance of the System -- 3.2 Definition of Default -- 3.3 Input Data and Collection Process -- 4 The BI-ICAS Process for Calculating the PD -- 4.1 The Statistical Model -- 4.2 The Expert Assessment -- 5 The Model Validation -- 5.1 The Role of the Validation -- 5.2 Expert System Validation -- 5.3 Bank of Italy's Internal Backtesting Analysis: Results for 2021 -- 6 Usage, Coverage and Rating Distribution of BI-ICAS System -- 6.1 Main Features of the Companies Assessed by BI-ICAS with a Full Rating -- 6.2 The Evolution of Credit Risk Across Firms Assessed with BI-ICAS -- 6.3 The Contribution of BI-ICAS to Monetary Policy Refinancing in the Covid-19 Crisis -- 7 Conclusions -- Appendix 1 -- Statistical Module Validation -- Discriminating Power Analysis -- Predictive Power Analysis -- Appendix 2 -- Validation Analysis of the Expert Module -- Effects of the Expert System on the Risk Classes Attributed by the Statistical System -- Influence of the Six Analysis Profiles on the Final Judgment for All Analysts -- Role of the Second Analyst -- Relationship Between the Expert System and the Statistical Risk Class 12 Months Later -- Differences in the Behaviour of the Analysts in Judging the Profiles and in Assigning the Final Ratings -- Analysis of Defaults -- References The Role of Rating Agencies: Implications for the Financial System and Central Banks' Efforts to Reduce their Reliance -- 1 Credit Ratings, the Financial System and Monetary Policy: An Overview -- 2 The Impact of Rating Actions on the Financial System and the Real Economy -- 2.1 Sovereign Issuers -- 2.2 Banks -- 2.3 Insurance Companies and Asset Managers -- 2.4 Central Counterparties and Collateralised Markets -- 2.5 Non-financial Companies -- 3 Reducing the Eurosystem's Reliance on Credit Rating Agencies: Progress Made So Far -- 3.1 The Role of Credit Ratings in the Eurosystem's Collateral Framework -- 3.2 The Use of Credit Ratings for Monetary Policy by Other Major Central Banks and Recent Changes in Response to the Covid-19 ... -- 3.3 The Recent Policy Debate -- 3.4 Reducing Reliance on Credit Rating Agencies: Progress Made So Far by the Eurosystem -- References -- The Incorporation of Climate Change Risk in the Eurosystem Monetary Policy Framework and the Decarbonisation of the Corporate ... -- 1 Introduction -- 2 Climate Change Considerations in the ECB's Monetary Policy Strategy (July 2021) -- 3 The Measures to Incorporate Climate Change into the Eurosystem's Monetary Policy Operations (July 2022) -- 3.1 The Acceptance of Sustainability-Linked Bonds as Collateral -- 3.2 The Introduction of Collateral Pool Limits for Issuers with a Large Carbon Footprint -- 3.3 Disclosure Requirements for Collateral -- 3.4 Risk Assessment and Management -- 4 The Actions Aimed at Decarbonising Corporate Bond Holdings -- 4.1 Communication -- 5 Conclusions -- References -- Part II: The Integration of Climate Change in Financial Risk Management -- The Commitment to Sustainability in Financial Investments -- 1 The Concept of Sustainability -- 2 The Threat of Climate Change -- 3 The Relevance of Sustainability for Financial Investments 4 The Main Initiatives of International and European Authorities Toward Sustainable Finance -- 5 Trends in Sustainable Finance -- 6 Climate Risks and the Role of Central Banks -- 7 Central Bank Initiatives -- 8 The Bank of Italy as a Sustainable Investor -- 9 Conclusions -- References -- The Strategic Allocation and Sustainability of Central Bank Investments -- 1 The Strategic Asset Allocation -- 2 Capital, Investments, and the Integrated Balance Sheet -- 3 The Scenario Generation Model -- 3.1 Methodology -- 3.2 The SAA Simulation Model -- 4 Portfolio Optimization -- 4.1 The Objective Function -- 4.2 Optimization Constraints -- 5 The SAA: An Application -- 6 Sustainability Principles and Investment Decisions: The Experience of the Bank of Italy -- 6.1 The Integration of Sustainability Principles -- 6.2 Sustainability in the Management of Securities Issued by the Private Sector -- 7 Conclusions -- Appendix: The Evolution of the Bank of Italy's Financial Assets -- References -- Machine Learning, ESG Indicators, and Sustainable Investment -- 1 Introduction -- 2 Literature Review -- 2.1 Risk Factors for Equity Returns -- 2.2 Sustainable Investment: Foundations and Issues -- 2.3 ESG: The Silver Bullet for Sustainable Investment? -- 2.4 Machine Learning in Finance -- 3 Data -- 3.1 Returns and Indices -- 3.2 ESG Data -- Refinitiv-Asset 4 -- MSCI -- 3.3 First Trials with Standard Approaches -- 4 A Tailored Machine Learning Approach -- 4.1 The Proposed Approach -- 4.2 Tree-Based Approach, the General Idea -- 4.3 Training the Trees -- 5 Results -- 5.1 Results for ESG Indicators -- 5.2 Results for Environmental Indicators -- 6 Conclusions -- Appendices -- Appendix 1: Portfolios Obtained with ESG Indicators -- Appendix 2: Portfolios Obtained with Environmental Indicators -- References -- The Global Green Bond Market -- 1 Introduction -- 2 Literature Review 3 Data -- 3.1 Identification of ESG Bonds -- 3.2 Information on Securities -- 4 ESG Bond Supply -- 5 Italian Residents' Holdings of ESG Bonds -- 6 ESG Bond Yields and the Greenium Puzzle -- 7 Conclusions -- Appendix: Information Sources -- References -- The Exposure of Investments to Climate and Environmental Risks -- 1 Introduction -- 2 The Exposure of Government Bonds to Climate and Environmental Risks -- 2.1 Backward-Looking Indicators: Emissions and the Energy System -- 2.2 Forward-Looking Indicators: From Historical Emissions to Decarbonization Scenarios -- 2.3 Environmental Risk Exposure Indicators -- 2.4 The Climate and Environmental Indicators for Some Countries -- 3 Climate and Environmental Indicators for Corporate Sector Entities -- 4 The Carbon Footprint and Exposure of Financial Portfolios -- 5 The Climate and Environmental Risk Exposure of the Bank of Italy's Investments -- 5.1 The Bank of Italy's Foreign Reserves and Investment Portfolio: Objectives and Composition -- 5.2 Government Bonds -- 5.3 Corporate Sector Securities -- 6 Conclusions -- References -- Disclaimers -- Glossary and Abbreviations |
| ctrlnum | (ZDB-30-PQE)EBC30751941 (ZDB-30-PAD)EBC30751941 (ZDB-89-EBL)EBL30751941 (OCoLC)1399562265 (DE-599)BVBBV050100637 |
| dewey-full | 658.155 |
| dewey-hundreds | 600 - Technology (Applied sciences) |
| dewey-ones | 658 - General management |
| dewey-raw | 658.155 |
| dewey-search | 658.155 |
| dewey-sort | 3658.155 |
| dewey-tens | 650 - Management and auxiliary services |
| discipline | Wirtschaftswissenschaften |
| edition | 1st ed |
| format | Electronic eBook |
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and European Authorities Toward Sustainable Finance -- 5 Trends in Sustainable Finance -- 6 Climate Risks and the Role of Central Banks -- 7 Central Bank Initiatives -- 8 The Bank of Italy as a Sustainable Investor -- 9 Conclusions -- References -- The Strategic Allocation and Sustainability of Central Bank Investments -- 1 The Strategic Asset Allocation -- 2 Capital, Investments, and the Integrated Balance Sheet -- 3 The Scenario Generation Model -- 3.1 Methodology -- 3.2 The SAA Simulation Model -- 4 Portfolio Optimization -- 4.1 The Objective Function -- 4.2 Optimization Constraints -- 5 The SAA: An Application -- 6 Sustainability Principles and Investment Decisions: The Experience of the Bank of Italy -- 6.1 The Integration of Sustainability Principles -- 6.2 Sustainability in the Management of Securities Issued by the Private Sector -- 7 Conclusions -- Appendix: The Evolution of the Bank of Italy's Financial Assets -- References -- Machine Learning, ESG Indicators, and Sustainable Investment -- 1 Introduction -- 2 Literature Review -- 2.1 Risk Factors for Equity Returns -- 2.2 Sustainable Investment: Foundations and Issues -- 2.3 ESG: The Silver Bullet for Sustainable Investment? -- 2.4 Machine Learning in Finance -- 3 Data -- 3.1 Returns and Indices -- 3.2 ESG Data -- Refinitiv-Asset 4 -- MSCI -- 3.3 First Trials with Standard Approaches -- 4 A Tailored Machine Learning Approach -- 4.1 The Proposed Approach -- 4.2 Tree-Based Approach, the General Idea -- 4.3 Training the Trees -- 5 Results -- 5.1 Results for ESG Indicators -- 5.2 Results for Environmental Indicators -- 6 Conclusions -- Appendices -- Appendix 1: Portfolios Obtained with ESG Indicators -- Appendix 2: Portfolios Obtained with Environmental Indicators -- References -- The Global Green Bond Market -- 1 Introduction -- 2 Literature Review</subfield></datafield><datafield tag="505" ind1="8" ind2=" "><subfield code="a">3 Data -- 3.1 Identification of ESG Bonds -- 3.2 Information on Securities -- 4 ESG Bond Supply -- 5 Italian Residents' Holdings of ESG Bonds -- 6 ESG Bond Yields and the Greenium Puzzle -- 7 Conclusions -- Appendix: Information Sources -- References -- The Exposure of Investments to Climate and Environmental Risks -- 1 Introduction -- 2 The Exposure of Government Bonds to Climate and Environmental Risks -- 2.1 Backward-Looking Indicators: Emissions and the Energy System -- 2.2 Forward-Looking Indicators: From Historical Emissions to Decarbonization Scenarios -- 2.3 Environmental Risk Exposure Indicators -- 2.4 The Climate and Environmental Indicators for Some Countries -- 3 Climate and Environmental Indicators for Corporate Sector Entities -- 4 The Carbon Footprint and Exposure of Financial Portfolios -- 5 The Climate and Environmental Risk Exposure of the Bank of Italy's Investments -- 5.1 The Bank of Italy's Foreign Reserves and Investment Portfolio: Objectives and Composition -- 5.2 Government Bonds -- 5.3 Corporate Sector Securities -- 6 Conclusions -- References 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| id | DE-604.BV050100637 |
| illustrated | Not Illustrated |
| indexdate | 2024-12-18T07:00:34Z |
| institution | BVB |
| isbn | 9783031338823 |
| language | English |
| oai_aleph_id | oai:aleph.bib-bvb.de:BVB01-035437799 |
| oclc_num | 1399562265 |
| open_access_boolean | |
| owner | DE-2070s |
| owner_facet | DE-2070s |
| physical | 1 Online-Ressource (323 Seiten) |
| psigel | ZDB-30-PQE ZDB-30-PQE HWR_PDA_PQE |
| publishDate | 2023 |
| publishDateSearch | 2023 |
| publishDateSort | 2023 |
| publisher | Springer |
| record_format | marc |
| series2 | Contributions to Finance and Accounting Series |
| spelling | Scalia, Antonio Verfasser aut Financial Risk Management and Climate Change Risk The Experience in a Central Bank 1st ed Cham Springer 2023 ©2023 1 Online-Ressource (323 Seiten) txt rdacontent c rdamedia cr rdacarrier Contributions to Finance and Accounting Series Description based on publisher supplied metadata and other sources Intro -- Foreword -- Acknowledgements -- Contents -- Editor and Contributors -- Financial Risk Management and Climate Change Risk -- References -- Part I: Monetary Policy and Financial Risk Management -- The Cost of Unconventional Monetary Policy Measures. A Risk Manager's Perspective -- 1 Introduction -- 2 Data -- 2.1 Exposure -- 2.2 Probability of Default -- 3 Methodology -- 3.1 Calculation of Losses -- 3.2 Simulation -- 3.3 Calibration -- 4 Results -- 4.1 Securities Market Programme (SMP) -- 4.2 Outright Monetary Transactions (OMT) -- 4.3 Asset Purchase Programme (APP) -- 4.4 Pandemic Emergency Purchase Programme (PEPP) -- 4.5 Trasmission Protection Instrument (TPI) -- 5 Conclusions -- Appendix -- A. Robustness Analysis -- B. Further Methodology Details -- Simulation of Collateral -- ELA Operations -- Probability of Default for Covered Bonds and ABS -- C. Dataset and Software -- References -- The Eurosystem Collateral Framework and the Measures Introduced in Response to the Pandemic Emergency -- 1 The Role of Collateral in Monetary Policy Transmission -- 2 The Eligibility Criteria for Collateral and the Credit Assessment Sources -- 3 The Risk Control Framework -- 4 The Use of Credit Claims as Collateral for Eurosystem Credit Operations -- 5 The Measures Adopted by the ECB During the Covid-19 Crisis -- 6 The Expansion of the Bank of Italy's ACC Framework in Response to the Covid-19 Emergency -- 7 The Effects of the Collateral Easing Measures in Italy -- 8 The Benefits and Costs for Italian Counterparties -- 9 The Gradual Phasing-Out of the Pandemic Collateral Easing Measures -- References -- Sovereign Ratings -- 1 Introduction -- 2 Italian Sovereign Ratings: An Overview -- 3 Sovereign Rating Methodologies -- 3.1 Models, Indicators, Rules -- 3.2 Membership of a Monetary Union -- 4 The Drivers of the Ratings Assigned to Italy 4.1 The Quantitative and Qualitative Drivers of Sovereign Ratings for Italy -- 4.2 Comparison Across Italy's Model Ratings -- 4.3 Factors Potentially Underweighted in the Four Agencies' Analyses -- 4.4 Official vs. Model Ratings for Euro Area Countries -- 5 Conclusion -- Annex 1 -- Annex 2 -- Annex 3 -- Annex 4 -- References -- The Bank of Italy's In-House Credit Assessment System for Non-financial Firms -- 1 The Bank of Italy's ICAS -- 2 The Eurosystem Credit Quality Standards -- 3 Bank of Italy's In-House Credit Assessment System's Architecture -- 3.1 Aims and Governance of the System -- 3.2 Definition of Default -- 3.3 Input Data and Collection Process -- 4 The BI-ICAS Process for Calculating the PD -- 4.1 The Statistical Model -- 4.2 The Expert Assessment -- 5 The Model Validation -- 5.1 The Role of the Validation -- 5.2 Expert System Validation -- 5.3 Bank of Italy's Internal Backtesting Analysis: Results for 2021 -- 6 Usage, Coverage and Rating Distribution of BI-ICAS System -- 6.1 Main Features of the Companies Assessed by BI-ICAS with a Full Rating -- 6.2 The Evolution of Credit Risk Across Firms Assessed with BI-ICAS -- 6.3 The Contribution of BI-ICAS to Monetary Policy Refinancing in the Covid-19 Crisis -- 7 Conclusions -- Appendix 1 -- Statistical Module Validation -- Discriminating Power Analysis -- Predictive Power Analysis -- Appendix 2 -- Validation Analysis of the Expert Module -- Effects of the Expert System on the Risk Classes Attributed by the Statistical System -- Influence of the Six Analysis Profiles on the Final Judgment for All Analysts -- Role of the Second Analyst -- Relationship Between the Expert System and the Statistical Risk Class 12 Months Later -- Differences in the Behaviour of the Analysts in Judging the Profiles and in Assigning the Final Ratings -- Analysis of Defaults -- References The Role of Rating Agencies: Implications for the Financial System and Central Banks' Efforts to Reduce their Reliance -- 1 Credit Ratings, the Financial System and Monetary Policy: An Overview -- 2 The Impact of Rating Actions on the Financial System and the Real Economy -- 2.1 Sovereign Issuers -- 2.2 Banks -- 2.3 Insurance Companies and Asset Managers -- 2.4 Central Counterparties and Collateralised Markets -- 2.5 Non-financial Companies -- 3 Reducing the Eurosystem's Reliance on Credit Rating Agencies: Progress Made So Far -- 3.1 The Role of Credit Ratings in the Eurosystem's Collateral Framework -- 3.2 The Use of Credit Ratings for Monetary Policy by Other Major Central Banks and Recent Changes in Response to the Covid-19 ... -- 3.3 The Recent Policy Debate -- 3.4 Reducing Reliance on Credit Rating Agencies: Progress Made So Far by the Eurosystem -- References -- The Incorporation of Climate Change Risk in the Eurosystem Monetary Policy Framework and the Decarbonisation of the Corporate ... -- 1 Introduction -- 2 Climate Change Considerations in the ECB's Monetary Policy Strategy (July 2021) -- 3 The Measures to Incorporate Climate Change into the Eurosystem's Monetary Policy Operations (July 2022) -- 3.1 The Acceptance of Sustainability-Linked Bonds as Collateral -- 3.2 The Introduction of Collateral Pool Limits for Issuers with a Large Carbon Footprint -- 3.3 Disclosure Requirements for Collateral -- 3.4 Risk Assessment and Management -- 4 The Actions Aimed at Decarbonising Corporate Bond Holdings -- 4.1 Communication -- 5 Conclusions -- References -- Part II: The Integration of Climate Change in Financial Risk Management -- The Commitment to Sustainability in Financial Investments -- 1 The Concept of Sustainability -- 2 The Threat of Climate Change -- 3 The Relevance of Sustainability for Financial Investments 4 The Main Initiatives of International and European Authorities Toward Sustainable Finance -- 5 Trends in Sustainable Finance -- 6 Climate Risks and the Role of Central Banks -- 7 Central Bank Initiatives -- 8 The Bank of Italy as a Sustainable Investor -- 9 Conclusions -- References -- The Strategic Allocation and Sustainability of Central Bank Investments -- 1 The Strategic Asset Allocation -- 2 Capital, Investments, and the Integrated Balance Sheet -- 3 The Scenario Generation Model -- 3.1 Methodology -- 3.2 The SAA Simulation Model -- 4 Portfolio Optimization -- 4.1 The Objective Function -- 4.2 Optimization Constraints -- 5 The SAA: An Application -- 6 Sustainability Principles and Investment Decisions: The Experience of the Bank of Italy -- 6.1 The Integration of Sustainability Principles -- 6.2 Sustainability in the Management of Securities Issued by the Private Sector -- 7 Conclusions -- Appendix: The Evolution of the Bank of Italy's Financial Assets -- References -- Machine Learning, ESG Indicators, and Sustainable Investment -- 1 Introduction -- 2 Literature Review -- 2.1 Risk Factors for Equity Returns -- 2.2 Sustainable Investment: Foundations and Issues -- 2.3 ESG: The Silver Bullet for Sustainable Investment? -- 2.4 Machine Learning in Finance -- 3 Data -- 3.1 Returns and Indices -- 3.2 ESG Data -- Refinitiv-Asset 4 -- MSCI -- 3.3 First Trials with Standard Approaches -- 4 A Tailored Machine Learning Approach -- 4.1 The Proposed Approach -- 4.2 Tree-Based Approach, the General Idea -- 4.3 Training the Trees -- 5 Results -- 5.1 Results for ESG Indicators -- 5.2 Results for Environmental Indicators -- 6 Conclusions -- Appendices -- Appendix 1: Portfolios Obtained with ESG Indicators -- Appendix 2: Portfolios Obtained with Environmental Indicators -- References -- The Global Green Bond Market -- 1 Introduction -- 2 Literature Review 3 Data -- 3.1 Identification of ESG Bonds -- 3.2 Information on Securities -- 4 ESG Bond Supply -- 5 Italian Residents' Holdings of ESG Bonds -- 6 ESG Bond Yields and the Greenium Puzzle -- 7 Conclusions -- Appendix: Information Sources -- References -- The Exposure of Investments to Climate and Environmental Risks -- 1 Introduction -- 2 The Exposure of Government Bonds to Climate and Environmental Risks -- 2.1 Backward-Looking Indicators: Emissions and the Energy System -- 2.2 Forward-Looking Indicators: From Historical Emissions to Decarbonization Scenarios -- 2.3 Environmental Risk Exposure Indicators -- 2.4 The Climate and Environmental Indicators for Some Countries -- 3 Climate and Environmental Indicators for Corporate Sector Entities -- 4 The Carbon Footprint and Exposure of Financial Portfolios -- 5 The Climate and Environmental Risk Exposure of the Bank of Italy's Investments -- 5.1 The Bank of Italy's Foreign Reserves and Investment Portfolio: Objectives and Composition -- 5.2 Government Bonds -- 5.3 Corporate Sector Securities -- 6 Conclusions -- References -- Disclaimers -- Glossary and Abbreviations Climatic changes-Risk management Financial risk management Erscheint auch als Druck-Ausgabe Scalia, Antonio Financial Risk Management and Climate Change Risk Cham : Springer,c2023 9783031338816 |
| spellingShingle | Scalia, Antonio Financial Risk Management and Climate Change Risk The Experience in a Central Bank Intro -- Foreword -- Acknowledgements -- Contents -- Editor and Contributors -- Financial Risk Management and Climate Change Risk -- References -- Part I: Monetary Policy and Financial Risk Management -- The Cost of Unconventional Monetary Policy Measures. A Risk Manager's Perspective -- 1 Introduction -- 2 Data -- 2.1 Exposure -- 2.2 Probability of Default -- 3 Methodology -- 3.1 Calculation of Losses -- 3.2 Simulation -- 3.3 Calibration -- 4 Results -- 4.1 Securities Market Programme (SMP) -- 4.2 Outright Monetary Transactions (OMT) -- 4.3 Asset Purchase Programme (APP) -- 4.4 Pandemic Emergency Purchase Programme (PEPP) -- 4.5 Trasmission Protection Instrument (TPI) -- 5 Conclusions -- Appendix -- A. Robustness Analysis -- B. Further Methodology Details -- Simulation of Collateral -- ELA Operations -- Probability of Default for Covered Bonds and ABS -- C. Dataset and Software -- References -- The Eurosystem Collateral Framework and the Measures Introduced in Response to the Pandemic Emergency -- 1 The Role of Collateral in Monetary Policy Transmission -- 2 The Eligibility Criteria for Collateral and the Credit Assessment Sources -- 3 The Risk Control Framework -- 4 The Use of Credit Claims as Collateral for Eurosystem Credit Operations -- 5 The Measures Adopted by the ECB During the Covid-19 Crisis -- 6 The Expansion of the Bank of Italy's ACC Framework in Response to the Covid-19 Emergency -- 7 The Effects of the Collateral Easing Measures in Italy -- 8 The Benefits and Costs for Italian Counterparties -- 9 The Gradual Phasing-Out of the Pandemic Collateral Easing Measures -- References -- Sovereign Ratings -- 1 Introduction -- 2 Italian Sovereign Ratings: An Overview -- 3 Sovereign Rating Methodologies -- 3.1 Models, Indicators, Rules -- 3.2 Membership of a Monetary Union -- 4 The Drivers of the Ratings Assigned to Italy 4.1 The Quantitative and Qualitative Drivers of Sovereign Ratings for Italy -- 4.2 Comparison Across Italy's Model Ratings -- 4.3 Factors Potentially Underweighted in the Four Agencies' Analyses -- 4.4 Official vs. Model Ratings for Euro Area Countries -- 5 Conclusion -- Annex 1 -- Annex 2 -- Annex 3 -- Annex 4 -- References -- The Bank of Italy's In-House Credit Assessment System for Non-financial Firms -- 1 The Bank of Italy's ICAS -- 2 The Eurosystem Credit Quality Standards -- 3 Bank of Italy's In-House Credit Assessment System's Architecture -- 3.1 Aims and Governance of the System -- 3.2 Definition of Default -- 3.3 Input Data and Collection Process -- 4 The BI-ICAS Process for Calculating the PD -- 4.1 The Statistical Model -- 4.2 The Expert Assessment -- 5 The Model Validation -- 5.1 The Role of the Validation -- 5.2 Expert System Validation -- 5.3 Bank of Italy's Internal Backtesting Analysis: Results for 2021 -- 6 Usage, Coverage and Rating Distribution of BI-ICAS System -- 6.1 Main Features of the Companies Assessed by BI-ICAS with a Full Rating -- 6.2 The Evolution of Credit Risk Across Firms Assessed with BI-ICAS -- 6.3 The Contribution of BI-ICAS to Monetary Policy Refinancing in the Covid-19 Crisis -- 7 Conclusions -- Appendix 1 -- Statistical Module Validation -- Discriminating Power Analysis -- Predictive Power Analysis -- Appendix 2 -- Validation Analysis of the Expert Module -- Effects of the Expert System on the Risk Classes Attributed by the Statistical System -- Influence of the Six Analysis Profiles on the Final Judgment for All Analysts -- Role of the Second Analyst -- Relationship Between the Expert System and the Statistical Risk Class 12 Months Later -- Differences in the Behaviour of the Analysts in Judging the Profiles and in Assigning the Final Ratings -- Analysis of Defaults -- References The Role of Rating Agencies: Implications for the Financial System and Central Banks' Efforts to Reduce their Reliance -- 1 Credit Ratings, the Financial System and Monetary Policy: An Overview -- 2 The Impact of Rating Actions on the Financial System and the Real Economy -- 2.1 Sovereign Issuers -- 2.2 Banks -- 2.3 Insurance Companies and Asset Managers -- 2.4 Central Counterparties and Collateralised Markets -- 2.5 Non-financial Companies -- 3 Reducing the Eurosystem's Reliance on Credit Rating Agencies: Progress Made So Far -- 3.1 The Role of Credit Ratings in the Eurosystem's Collateral Framework -- 3.2 The Use of Credit Ratings for Monetary Policy by Other Major Central Banks and Recent Changes in Response to the Covid-19 ... -- 3.3 The Recent Policy Debate -- 3.4 Reducing Reliance on Credit Rating Agencies: Progress Made So Far by the Eurosystem -- References -- The Incorporation of Climate Change Risk in the Eurosystem Monetary Policy Framework and the Decarbonisation of the Corporate ... -- 1 Introduction -- 2 Climate Change Considerations in the ECB's Monetary Policy Strategy (July 2021) -- 3 The Measures to Incorporate Climate Change into the Eurosystem's Monetary Policy Operations (July 2022) -- 3.1 The Acceptance of Sustainability-Linked Bonds as Collateral -- 3.2 The Introduction of Collateral Pool Limits for Issuers with a Large Carbon Footprint -- 3.3 Disclosure Requirements for Collateral -- 3.4 Risk Assessment and Management -- 4 The Actions Aimed at Decarbonising Corporate Bond Holdings -- 4.1 Communication -- 5 Conclusions -- References -- Part II: The Integration of Climate Change in Financial Risk Management -- The Commitment to Sustainability in Financial Investments -- 1 The Concept of Sustainability -- 2 The Threat of Climate Change -- 3 The Relevance of Sustainability for Financial Investments 4 The Main Initiatives of International and European Authorities Toward Sustainable Finance -- 5 Trends in Sustainable Finance -- 6 Climate Risks and the Role of Central Banks -- 7 Central Bank Initiatives -- 8 The Bank of Italy as a Sustainable Investor -- 9 Conclusions -- References -- The Strategic Allocation and Sustainability of Central Bank Investments -- 1 The Strategic Asset Allocation -- 2 Capital, Investments, and the Integrated Balance Sheet -- 3 The Scenario Generation Model -- 3.1 Methodology -- 3.2 The SAA Simulation Model -- 4 Portfolio Optimization -- 4.1 The Objective Function -- 4.2 Optimization Constraints -- 5 The SAA: An Application -- 6 Sustainability Principles and Investment Decisions: The Experience of the Bank of Italy -- 6.1 The Integration of Sustainability Principles -- 6.2 Sustainability in the Management of Securities Issued by the Private Sector -- 7 Conclusions -- Appendix: The Evolution of the Bank of Italy's Financial Assets -- References -- Machine Learning, ESG Indicators, and Sustainable Investment -- 1 Introduction -- 2 Literature Review -- 2.1 Risk Factors for Equity Returns -- 2.2 Sustainable Investment: Foundations and Issues -- 2.3 ESG: The Silver Bullet for Sustainable Investment? -- 2.4 Machine Learning in Finance -- 3 Data -- 3.1 Returns and Indices -- 3.2 ESG Data -- Refinitiv-Asset 4 -- MSCI -- 3.3 First Trials with Standard Approaches -- 4 A Tailored Machine Learning Approach -- 4.1 The Proposed Approach -- 4.2 Tree-Based Approach, the General Idea -- 4.3 Training the Trees -- 5 Results -- 5.1 Results for ESG Indicators -- 5.2 Results for Environmental Indicators -- 6 Conclusions -- Appendices -- Appendix 1: Portfolios Obtained with ESG Indicators -- Appendix 2: Portfolios Obtained with Environmental Indicators -- References -- The Global Green Bond Market -- 1 Introduction -- 2 Literature Review 3 Data -- 3.1 Identification of ESG Bonds -- 3.2 Information on Securities -- 4 ESG Bond Supply -- 5 Italian Residents' Holdings of ESG Bonds -- 6 ESG Bond Yields and the Greenium Puzzle -- 7 Conclusions -- Appendix: Information Sources -- References -- The Exposure of Investments to Climate and Environmental Risks -- 1 Introduction -- 2 The Exposure of Government Bonds to Climate and Environmental Risks -- 2.1 Backward-Looking Indicators: Emissions and the Energy System -- 2.2 Forward-Looking Indicators: From Historical Emissions to Decarbonization Scenarios -- 2.3 Environmental Risk Exposure Indicators -- 2.4 The Climate and Environmental Indicators for Some Countries -- 3 Climate and Environmental Indicators for Corporate Sector Entities -- 4 The Carbon Footprint and Exposure of Financial Portfolios -- 5 The Climate and Environmental Risk Exposure of the Bank of Italy's Investments -- 5.1 The Bank of Italy's Foreign Reserves and Investment Portfolio: Objectives and Composition -- 5.2 Government Bonds -- 5.3 Corporate Sector Securities -- 6 Conclusions -- References -- Disclaimers -- Glossary and Abbreviations Climatic changes-Risk management Financial risk management |
| title | Financial Risk Management and Climate Change Risk The Experience in a Central Bank |
| title_auth | Financial Risk Management and Climate Change Risk The Experience in a Central Bank |
| title_exact_search | Financial Risk Management and Climate Change Risk The Experience in a Central Bank |
| title_full | Financial Risk Management and Climate Change Risk The Experience in a Central Bank |
| title_fullStr | Financial Risk Management and Climate Change Risk The Experience in a Central Bank |
| title_full_unstemmed | Financial Risk Management and Climate Change Risk The Experience in a Central Bank |
| title_short | Financial Risk Management and Climate Change Risk |
| title_sort | financial risk management and climate change risk the experience in a central bank |
| title_sub | The Experience in a Central Bank |
| topic | Climatic changes-Risk management Financial risk management |
| topic_facet | Climatic changes-Risk management Financial risk management |
| work_keys_str_mv | AT scaliaantonio financialriskmanagementandclimatechangerisktheexperienceinacentralbank |