Analisi del rischio di transizione legato al cambiamento climatico nel portafoglio assicurativo: un'indagine attraverso PACTA e gli shock IORP.

The global discourse surrounding climate change has intensified, placing financial institutions, particularly insurance companies, at the forefront of managing emerging risks. This thesis aims to evaluate how an insurance company’s investment portfolio is impacted by climate change risks and therefore what the possible investment strategies are to best manage transition risk. Utilizing the Paris Agreement Capital Transition Assessment (PACTA) model, the study assesses the alignment of the company’s investments with sustainable objectives outlined in the Paris Agreement. Furthermore, the research investigates market value shifts in investments by applying the shocks proposed by the Institutions for Occupational Retirement Provision (IORP) Climate Stress Test. The first segment of the research employs the PACTA model to scrutinize the insurance company’s current investment portfolio, quantifying the extent to which it aligns with the goals of limiting global temperature rise to well below 2°C, and striving for 1.5°C. By examining the asset classes of corporate bonds and equities, this segment provides an in-depth analysis of how the company stands concerning the transition to a low-carbon economy, considering only the eight carbon-intensive sectors responsible for producing the majority of CO2 emissions. The second part of the thesis applies the climate-related shocks as proposed by the IORP Climate Stress Test to understand the susceptibility of the investment portfolio to climate-induced market changes. By encompassing shocks to asset prices, credit spreads, and other relevant financial metrics, this examines all the asset classes of government and corporate bonds, equities, investment funds and properties. The stress test results offer a granular look at which specific assets are most vulnerable and provide an avenue for risk mitigation strategies. IORP analsysis shows that the adverse market scenario leads to a fall of 11.22% in the value of the assets. As equity and corporate bonds investments are the dominant asset classes and experience the most severe shocks, these investments are the main drivers of the drop in the value of assets in the scenario. On average, 21% of the investments in equity and 12% of investments in corporate bonds are allocated to the four economic sectors with the largest shocks, with the highest exposure in Mining & Quarrying. The results obtained from PACTA indicate that to achieve the NZE2050 scenario, which refers to net zero CO2 emissions by 2050, the plans of the companies in the equity and corporate bond portfolios should include a significant investment in renewables, namely nuclear, hydroelectric, and renewable sources, while reducing those in gas energy.