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Climate financial risk data

CLIMAFIN has led the modeling consortium that has developed the NGFS Short Term Climate Scenarios.
In particular, CLIMAFIN has developed all the financial risk metrics provided in the publicly available repository of the NGFS.

In order to address the needs of advanced users, CLIMAFIN provides a series of files that extend the publicly available database of NGFS Short Term Scenarios along the following dimensions.

• Economic sector classification. Economic activities are classified according to NACE sectors (up to 4 digits in some cases). In the public version, instead the sectors are those used in the GEM-E3 model.


• Corporate bonds maturity.
  The following range of maturities are available: 1, 2, 3, 4, 5, 10, 15, 20,and 25 years whereas In the public version instead, bonds have 1-year maturity only and varying valuation year (between 2025 and 2030).


• Baseline PD.
  Data refer to several values of baseline PD that enable users to take into account varying levels of credit risk in the baseline scenario. The following baseline pds are available : 0.5%, 1% , 2%, 5%, 10%.


• Firm-level risk metrics.
  Firm-level metrics based on detailed geolocation and sectoral breakdown of firms’ activites are made available whereas the NGFS public database only provides sectoral and country level data. Firms are identified by their main ISIN code, or LEI if available.

How to Access and Purchase

The datasets are available for immediate digital delivery after the purchase.