KPMG Market Survey on Climate & Environmental Risks in Credit Risk Models

With existing ECB expectations on Climate-related & Environmental Risks (CER) in risk classification and internal capital (deadline: end-2024) and the upcoming CRD VI (effective 2026) requiring banks to incorporate CER into internal capital planning, banks are working to integrate CER into internal credit risk models.

Against this backdrop, we conducted an international survey to analyse the status, progress and plans of banks regarding inclusion of CER in credit risk models. Approximately half of the respondents indicated that they already reflect CER in risk classification procedures and have a live solution for CER in internal ratings for Large corporates.

Our market study "Climate and Environmental Risks in Credit Risk Models" with all survey responses and the corresponding analyses provides a picture of where banks stand on their path to CER integration and what they still need to do to meet regulatory expectations and improve their credit risk management.