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Modelling green credit scores for a network of retail and business clients

  • Host institution: University of Twente.

  • Starting month: M9.

  • Duration: 36 months.

  • Pillar 1: Sustainable finance (University of Naples Federico II, 4 ECTs), Work Package 5

  • Work Packages Included: WP5, WP6, WP7, WP8

  • 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

  • Swedbank (SWE). Prof. Dr. Tadas Gudaitis, M21, 6 months, ESG and credit score modelling

  • 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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Planned Timetable

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Funded by the European Union. Views and opinions expressed are however those of the author(s) only and do not necessarily reflect those of the European Union or Horizon Europe: Marie Skłodowska-Curie Actions. Neither the European Union nor the granting authority can be held responsible for them. This project has received funding from the Horizon Europe research and innovation programme under the Marie Skłodowska-Curie Grant Agreement No. 101119635

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