Development of European Stability Mechanism (ESM) ESG Framework

Narrative description of Project:

On behalf of Deloitte, CLA as subcontractor supports ESM in implementing and developing ESG framework(s) and Policies, which include tailored support in the design and implementation of an overall structured and coherent ESG approach for the ESM, carbon emissions reduction measures; carbon intensity disclosure and measurement both in relation to building/operations and capital market related activities; responsible asset management; climate risk management and measurement; climate risk and scenario analysis. 

ESM’s Risk Management department requested Subject Matter Expert (SME) support with previous experience in working/helping comparable IFIs or banks to assess and manage climate change risks, in particular for their investment portfolios. Prior to this request, ESM concluded the benchmarking exercise that identified gaps between current practices and regulations/guidelines on how to incorporate climate change in Risk Management (UNPRI, TCFD, ECB, EBA, BCBS).

Description of actual services provided by your staff within the assignment:

Task 1: Climate risk materiality assessment procedure

• A ‘skeleton’ draft of a procedure to perform materiality assessment (i.e. matrix or heatmap assessing the impact of climate change on business/balance sheet at different time horizons)

Task 2: Climate risk assessment

• Support/execution of materiality assessment (metrics/KPIs for the quantification of material climate-related risks models and methodology for climate stress tests/scenario analysis)

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