Sovereign rating methodologies, ESG and climate change risk: an overview

Denitsa Angelova, Francesco Bosello, Andrea Bigano and Silvio Giove ()
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Silvio Giove: Department of Economics, Ca' Foscari University of Venice

No 2021:15, Working Papers from Department of Economics, University of Venice "Ca' Foscari"

Abstract: We review the sovereign credit rating methodologies of three credit rating agencies (Moody's, S&P and Fitch) and analyze how they currently accommodate climate change risk and ESG considerations. We elaborate on the differences between the three rating methodologies and critically evaluate their suitability and limitations. We propose lines of improvement with respect to the indicator selection, normalization, aggregation and weighting procedures as well as the use of the sovereign rating indicator in connection with climate change scenarios.

Keywords: Climate risk; sovereign risk; sovereign credit; rating agency (search for similar items in EconPapers)
JEL-codes: G24 H63 Q54 (search for similar items in EconPapers)
Pages: 45 pages
Date: 2021
New Economics Papers: this item is included in nep-ene, nep-env and nep-fdg
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Citations: View citations in EconPapers (2)

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Persistent link: https://EconPapers.repec.org/RePEc:ven:wpaper:2021:15

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