October 2025 Report on Climate and Environmental Credit Risk Data and Modelling

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October 2025 Report on Climate & Environmental (C&E) Credit Risk Data and Modelling

Brussels, 16 October 2025 - The C-ESG Risk Roundtable has today published its seventh report, "Climate & Environmental (C&E) Credit Risk Data and Modelling," presenting a roadmap for improving data and modelling practices across the banking sector.

The report identifies seven key findings and recommendations for action, designed to enhance how banks identify, quantify, and integrate climate and environmental risk drivers into their credit risk frameworks. It aims to provide a foundation for future work, including the sharing of good practices and the identification of common approaches in:

• Data identification and gathering
• Modelling of climate and environmental impacts for provisioning (expected losses) and capital (unexpected losses), from both regulatory and internal perspectives

Developed through the collaborative work of the C&E Credit Risk Data and Modelling Workstream, co-chaired by BNP Paribas and Rabobank, with the European Central Bank (ECB) and the European Banking Federation (EBF) participating in an observing capacity, the report reflects contributions from 14 European banks.

It builds on survey results from a significant sample of EU banks, exploring how climate and environmental factors are incorporated into credit risk management and modelling. The recommendations cover aspects such as standardised taxonomies of C&E events, knowledge bases of default cases, guidance on identifying and flagging C&E-related defaults, and improved awareness of external data sources.

By sharing these insights, the C-ESG Risk Roundtable seeks to foster convergence and promote consistent, transparent, and data-driven approaches to assessing C&E-related credit risks across Europe's banking sector.