Abstract:The Basel Committee recommended the use of input-output tables to properly measure climate risks. However, the majority of previous studies only limits the use of input-output tables to carbon emissions and this is not applied in climate risk ratings. The existing climate (E) risk ratings (scores) was modified or transformed from Sustainalytics to the full climate risk scores using input-output tables. Positive relationship between credit risks and the full climate risk estimates at the industry level was iden… Show more
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