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Contribution Details

Type Journal Article
Scope Discipline-based scholarship
Title Two sides of the same coin: Green Taxonomy alignment versus transition risk in financial portfolios
Organization Unit
  • Lucia Alessi
  • Stefano Battiston
Item Subtype Original Work
Refereed Yes
Status Published in final form
  • English
Journal Title International Review of Financial Analysis
Publisher Elsevier
Geographical Reach international
ISSN 1057-5219
Volume 84
Page Range 102319
Date 2022
Abstract Text We develop the first top-down method to estimate the greenness of financial portfolios, in terms of alignment to the EU Taxonomy for sustainable activities. We also develop a method to estimate, at the same time, the portfolio exposure to climate transition risk. We provide sector-level, standardized and transparent coefficients for both estimates, based on definitions of greenness and transition risk that are applicable across countries. We analyse the portfolios of Euro Area investors in 2022, based on the confidential Securities Holdings Statistics of the European Central Bank. We find that, overall, the greenness of Euro Area investors’ portfolios is lower than their exposure to transition risk (2.8% vs. 11.7%). Across financial institutions, we estimate greenness and exposure to transition risk, respectively, at 3.2% and 12% for investment funds, at 0.8% and 5% for banks and at 4.8% and 15.1% for insurers. Our analysis also shows that investors with large amounts invested in green activities can have at the same time large exposures to transition risk.
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Official URL
Digital Object Identifier 10.1016/j.irfa.2022.102319
Other Identification Number merlin-id:22679
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