Banca d'Italia and the International Monetary Fund (IMF) organized the research conference 'Embedding Sustainability in Credit Risk Assessment'. Banca d'Italia hosted the event at Palazzo Dolfin-Manin, in Venice, on 13-14 June.
The conference included contributions investigating how sustainability factors, especially climate change and environmental issues, can be integrated in credit risk assessment. Deputy Governor Paolo Angelini introduced the conference with a welcome address and moderated a panel session with the intervention of Fabio Natalucci (IMF), Emmanuel Faber (ISSB), Elena Flor (Intesa Sanpaolo) and Pierre Georges (S&P Global). Prof. Rick van der Ploeg from Oxford University gave the keynote lecture.
Thursday, June 13
Welcome Address
(video)
Pier Luigi Ruggiero, Venice Branch Manager, Banca d'Italia
Paolo Angelini, Deputy Governor, Banca d'Italia
Keynote Speech
Rick van der Ploeg, University of Oxford
'Pricing in Transition and Physical Risks During the Green Transition'
Session I - Climate metrics for physical and transition risks
(video)
Chair: Ekaterina Gratcheva, International Monetary Fund
'Taxonomy alignment and transition risk: a country-level approach'
Lucia Alessi, European Commission - Joint Research Centre and CefES (Milano Bicocca)
Stefano Battiston - University of Zurich and University Ca' Foscari Venice
'Climate risks and firms: a new methodology for assessing physical risks'
(paper) (slide)
Michele Loberto, Banca d'Italia
Riccardo Russo, Banca d'Italia
'Climate risks and firms: a new methodology for assessing physical risks'
(paper) (slide)
José Luis Blasco Vazquez, University of Madrid
Elena Carrión Moneo, University of Burgos
Discussant: Julia Braun, Bundesbank (discussion)
Session II - Transition risk and stress testing
(video)
Chair: Antonio Scalia, Banca d'Italia
'The Road to Paris: stress testing the transition towards a net-zero economy'
(paper) (slide)
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 dual face of carbon emissions: transition risk-adjusted probability of default'
(slide)
Manuel Cugliari, Banca d'Italia
Alessandra Iannamorelli, Banca d'Italia
Federica Vassalli, Banca d'Italia
Discussant: Simone Narizzano, Banca d'Italia (discussion)
Session III - Climate Impact on Firm Credit Risk
(video)
Chair: Monica Billio, Ca' Foscari University of Venice
'The low-carbon transition, climate commitments and firm credit risk'
(paper) (slide)
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
'Do ESG considerations impact corporate default risk?'
(paper) (slide)
Fabrizio Ferriani, Banca d'Italia
Marcello Pericoli, Banca d'Italia
Discussant: Andrea Giacomelli, Ca' Foscari University of Venice (discussion)
Session IV - Insurers Climate Risk Exposure and Insurance Protection Gap
(video)
Chair: Patrick Bolton, Imperial College London
'Measuring the Climate Risk Exposure of Insurers'
(paper)
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
'Climate stress testing for mortgage default probability'
(slide)
Luca Zanin, Prometeia
Raffaella Calabrese, University of Edinburgh
Connor Innes Thorburn, Prometeia
'Flood protection gap: evidence for public finances and insurance premiums'
(paper) (slide)
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
Discussant: Peter Windsor, International Monetary Fund
Friday, June 14
Session V - Banks Climate Risk Exposure
(video)
Chair: Valentina Michelangeli, Banca d'Italia
''Glossy Green' Banks: the disconnect between environmental disclosures and lending activities'
Mariassunta Giannetti, Stockholm School of Economics and CEPR
Martina Jasova, Columbia University
Maria Loumioti, UT Dallas
Caterina Mendicino, European Central Bank
'U.S. Banks' exposures to climate transition risks'
(paper)
Hyeyoon Jung, Federal Reserve New York
João A.C. Santos, Federal Reserve New York
Lee Seltzer, Federal Reserve New York
'Climate risk, bank lending and monetary policy'
(paper) (slide)
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
Discussant: Roberta Fiori, Banca d'Italia (discussion)
Panel Session - Credit risk and sustainable factors: recent and future developments
(video)
Moderator: Paolo Angelini, Banca d'Italia - 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
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).
