Modelling green credit scores for a network of retail and business clients
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Host institution: University of Twente.
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Starting month: M9.
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Duration: 36 months.
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Pillar 1: Sustainable finance (University of Naples Federico II, 4 ECTs), Work Package 5
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Work Packages Included: WP5, WP6, WP7, WP8
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Lead researcher: Manuele Massei
Objectives
Some markets use green credit scores to assess SME credit risk in sustainable and circular economies. Simultaneously, network customers' default likelihood has been studied. This study develops and deploys green credit score models that account for customers' networks. We show the impact and give financial institutions methods to improve credit risk assessment and access.
Expected Results
Green credit score models will be developed and implemented. These models inform SMEs about their carbon footprint, their main risks in a low-carbon economy, and how to mitigate them. SMEs leading on sustainability could gain easier access to capital by demonstrating positive relationships between creditworthiness and sustainability, creating a fairer credit risk assessment that explicitly factors in sustainability metrics and encouraging low-carbon measures.
Planned Secondments
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Swedbank (SWE). Prof. Dr. Tadas Gudaitis, M21, 6 months, ESG and credit score modelling
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Bank for International Settlement (BIS). Rafael Schmidt, M27, 18 months, contribute macro-economic datasets, ongoing projects as well as overall expertise in banking supervision
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