Climate risk index

Data source provider

Green RWA

Use cases

Exposure quantification, Financial stability monitoring, Investment and lending decisions, Macro-economic modelling, Product development, Scenario analysis, Stress testing

Data group

Climate-related index and scoring

Metric Type

Physical vulnerability

Methodology/ Standard / Classification/ Taxonomy / Reference

Climate Extended Risk Model (CERM)

Unit (e.g. CO2)

Not applicable

Dimension (e.g. Sector, Customer)

By Entity

Time horizon

Forward-looking

Link

https://greenrwa.org/blog/

Frequency

Not available

Time series

Not available

Accessibility

Proprietary

Observation on data availability/gaps

Green RWA methodology applies to the following categories of instruments prone to credit risk:
Corporate loans, corporate bonds and equity
Project finance
Asset finance
Mortgages

Green RWA has partnered with Professor Josselin Garnier (Ecole Polytechnique, Lusenn) to develop a climate-extended risk model (the CERM) to assess how forward-looking climate risks affects the borrower’s default risk in lending portfolios.