From Disclosure to Models: Embedding Climate Risk in Credit Risk Management”
Over the past decade, climate and environmental (C&E) risk has become an increasingly critical focus in credit risk management. What began with enhanced risk disclosures evolved to include Pillar 2 tools such as stress testing and, more recently, following the expectation of the supervisors, the emphasis evolved to assessment and inclusion of material C&E risk in Pillar 1 models.
But how can the industry progress when data is fragmented, methodologies differ, and materiality assessments are still evolving?
To shed light on these challenges, the C-ESG Risk Roundtable surveyed European Banking Federation (EBF) members, capturing insights from 61% of the largest EU banks. The survey explored:
✅ How banks are collecting and using C&E credit risk data
✅ Current practices versus what’s planned
✅ Key recommendations to improve and harmonize approaches and methodologies
Join our webinar for a deep dive into the results, practical takeaways, and a discussion on the road ahead for integrating C&E risks into credit risk modelling.