Gli effetti dell'inclusione dei fattori ESG nell'ambito di Solvency II: un'analisi comparativa sul rischio di mercato

With the signing of the United Nations (UN) 2030 Agenda for Sustainable Development, the Paris Agreement on Climate Change both in 2015 and recently the Action Plan on Sustainable Finance (March 2017), the European Union has placed environmental and social sustainability at the heart of its policies, proposing a framework which redirects capital towards the development of sustainable investments, in order to shift the focus from mere profit to a more climate-resilient economy. Within this context, Environmental, Social and Governance (ESG) risks have become an area of strategic focus for many investors and in particular for the insurance industry, which facilitates risk transfer for both companies and individuals, thus creating a more sustainable future, but it also controls and manages a significant portion of investable assets and for these reasons, it has a front line role in this challenge towards sustainable finance. Therefore, this thesis is proposed to investigate the inclusion of Environmental, Social and Governance (ESG) factors within the context of the Solvency II framework, with a particular focus on Market Risk implications. Consequently, the work is developed by firstly reviewing the literature regarding ESG commitments within Solvency II Directive, where a particular attention is given to the ESG credit rating and analysis within the investment portfolio management. In the second part of the thesis, a comparative analysis is introduced, examining qualitatively and quantitatively the main implications of considering ESG factors within the Spread Risk sub-module calculation.