Embedding Sustainability in Credit Risk Assessment
June 13-14, 2024
Banca d’Italia and the Monetary and Capital Markets Department of the International Monetary Fund are organizing a research conference, to be held in Venice on 13-14 June 2024, on the integration of sustainability profiles in the credit risk assessment of non-financial firms. The conference will be hosted at Banca d’Italia’s branch in Palazzo Dolfin Manin, Calle Larga Mazzini, 4799/a San Marco. Participation will be possible in presence and via a web connection.
The conference will provide a forum for discussion on prominent issues for credit institutions, investment firms, insurance companies, rating agencies, and central banks towards the integration of sustainability factors in the credit risk assessment of firms, in particular SMEs, in response to regulatory developments, the supervisory framework, and sustainable investment practices.
Registration: Participants in presence and via web should register with a message to the e-mail Sustainability.Conference.Venice@bancaditalia.it. Participation in presence will be accepted depending on space availability.
Agenda
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June 13 |
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8.30 – 9.00 |
Welcome coffee |
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9.00 – 9.15 |
Introductory remarks Paolo Angelini, Bank of Italy – Deputy Governor |
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9.15 – 10.00 |
Keynote speech Rick van der Ploeg, University of Oxford
Pricing in Transition and Physical Risks During the Green Transition |
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10.00 – 10.15 |
Break |
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10.15 – 12.45 |
Session I - Climate metrics for physical and transition risks Chair: Ekaterina Gratcheva, International Monetary Fund Lucia Alessi, European Commission – Joint Research Centre and CefES (Milano Bicocca) Stefano Battiston, University of Zurich and University Ca' Foscari Venice Taxonomy alignment and transition risk: a country-level approach Michele Loberto, Bank of Italy Riccardo Russo, Bank of Italy Climate risks and firms: a new methodology for assessing physical risks José Luis Blasco Vazques, University of Madrid Elena Carrión Moneo, University of Burgos Strategic climate metrics: prioritising key factors for enhanced decisionmaking Discussant: Julia Braun, Bundesbank [15 min] Q&A [15 min] |
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12.45 – 13.45 |
Lunch |
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13.45 – 14.45 |
Session II - Transition risk and stress testing Chair: Antonio Scalia, Bank of Italy Tina Emambakhsh, European Central Bank Maximilian Fuchs, European Central Bank Simon Kördel, European Central Bank Charalampos Kouratzoglou, European Central Bank Chiara Lelli, European Central Bank Riccardo Pizzeghello, European Central Bank Carmelo Salleo, European Central Bank Martina Spaggiari, European Central Bank The Road to Paris: stress testing the transition towards a net-zero economy Manuel Cugliari, Bank of Italy Alessandra Iannamorelli, Bank of Italy Federica Vassalli, Bank of Italy The dual face of carbon emissions: transition risk-adjusted probability of default Discussant: Simone Narizzano, Bank of Italy [10 min] Q&A [10 min] |
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14.45 – 15.00 |
Break |
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15.00 – 16.00 |
Session III - Climate Impact on Firm Credit Risk Chair: Monica Billio, Ca' Foscari University of Venice Sante Carbone, Stockholm Business School (Stockholm University) Margherita Giuzio, European Central Bank Sujit Kapadia, European Central Bank Johannes Sebastian Krämer, European Central Bank and International Monetary Fund Ken Nyholm, European Central Bank Katia Vozian, Helsinki Graduate School of Economics and Leibniz Institute for Financial research The low-carbon transition, climate commitments and firm credit risk Fabrizio Ferriani, Bank of Italy Marcello Pericoli, Bank of Italy Do ESG considerations impact corporate default risk? Discussant: Andrea Giacomelli, Ca' Foscari University of Venice [10 min] Q&A [10 min] |
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16.00 – 16.30 |
Break |
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16.30 – 18.00 |
Session IV - Insurers Climate Risk Exposure and Insurance Protection Gap Chair: Patrick Bolton, Imperial College London and Columbia Business School Hyeyoon Jung, Federal Reserve New York Robert Engle, Stern School of Business, New York University Shan Ge, Stern School of Business, New York University Xuran Zeng, Stern School of Business, New York University Measuring the Climate Risk Exposure of Insurers Luca Zanin, Prometeia Raffaella Calabrese, University of Edinburgh Connor Innes Thorburn, Prometeia Climate stress testing for mortgage default probability Mario Bellia, European Commission, Joint Research Centre Erica Francesca Di Girolamo, European Commission, Joint Research Centre Andrea Pagano, European Commission, Joint Research Centre Marco Petracco Giudici, European Commission, Joint Research Centre Flood protection gap: Evidence for public finances and insurance premiums Discussant: Peter Windsor, International Monetary Fund [15 min] Q&A [15 min] |
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June 14 |
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8.30 – 9.00 |
Welcome coffee |
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9.00 – 10.30 |
Session V - Banks Climate Risk Exposure Chair: Valentina Michelangeli, Bank of Italy Mariassunta Giannetti, Stockholm School of Economics and CEPR Martina Jasova, Columbia University Maria Loumioti, UT Dallas Caterina Mendicino, European Central Bank “Glossy Green" Banks: The disconnect between environmental disclosures and lending activities Hyeyoon Jung, Federal Reserve New York João A.C. Santos, Federal Reserve New York Lee Seltzer, Federal Reserve New York U.S. Banks' exposures to climate transition risks Carlo Altavilla, European Central Bank and CEPR Miguel Boucinha, European Central Bank Marco Pagano, CEPR, University of Naples, EIEF, CSEF and ECGI Andrea Polo, CEPR and EIEF and LUISS University and ECGI Climate risk, bank lending and monetary policy Discussant: Roberta Fiori, Bank of Italy [15 min] Q&A [15 min] |
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10.30 – 11.00 |
Break |
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11.00 – 12.30 |
Panel session: Credit risk and sustainable factors: recent and future developments Moderator: Paolo Angelini, Bank of Italy – Deputy Governor Emmanuel Faber, International Sustainability Standards Board – Chair Elena Flor, Intesa Sanpaolo – Head ESG Steering Pierre Georges, S&P Global – Global head of ESG in credit - Corporate & Infrastructure Ratings Fabio Natalucci, International Monetary Fund – Deputy Director of the Monetary and Capital Markets Department |
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12.30 – 13.00 |
Q&A |
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13.00 – 14.00 |
Lunch |
Program committee: Monica Billio (Ca' Foscari University of Venice), Patrick Bolton (Imperial College
London and Columbia Business School), Stefano Giglio (Yale University), Ekaterina Gratcheva
(International Monetary Fund), Valentina Michelangeli (Bank of Italy).