The cost and benefit of GHG emissions and default risk
GHG排出量とデフォルトリスクのコストと便益 (AI 翻訳)
Anthony Ede, Panagiotis Tzouvanas
🤖 gxceed AI 要約
日本語
本論文は、炭素排出コストとグリーン収益強度が企業のデフォルトリスクに与える影響を分析。2008～2022年の全球企業データを用い、炭素コストの上昇がデフォルト確率を有意に引き上げる一方、グリーン収益強度の影響は限定的であることを示した。高移行リスクセクターで効果が顕著であり、経営能力の高い企業では緩和される。
English
This paper examines the impact of carbon costs and green-revenue intensity on firm default risk using global firm-level data (2008-2022). It finds that higher carbon costs significantly increase default probability, while green-revenue intensity has a modest effect. The results are pronounced in high transition-risk sectors and mitigated by managerial ability.
Unofficial AI-generated summary based on the public title and abstract. Not an official translation.
📝 gxceed 編集解説 — Why this matters
日本のGX文脈において
全球データに基づく研究だが、日本の金融機関や企業が気候関連リスクを信用リスク評価に組み込む際の実証的エビデンスとして有用。特に、炭素コストの金銭的評価がデフォルトリスクに直結する点は、日本の移行リスク管理にも示唆を与える。
In the global GX context
This study provides novel empirical evidence on the financial materiality of transition risk, supporting the integration of carbon cost metrics into credit risk assessment frameworks such as those advocated by TCFD and ISSB. It underscores the importance of monetary valuation of emissions for global climate risk disclosure.
👥 読者別の含意
🔬研究者:Offers novel intensity measures (carbon cost and green-revenue intensity) for assessing transition risk and default correlation.
🏢実務担当者:Provides quantitative evidence for incorporating carbon cost into credit risk models for lending and investment decisions.
🏛政策担当者:Supports regulatory efforts to require carbon cost disclosure and integrate climate risk into prudential supervision.
📄 Abstract（原文）
Abstract This paper examines the relationship between the financial costs associated with carbon emissions and the intensity of green revenues relative to emissions and firm-level default risk. Contributing to the ongoing debate on emissions measurement approaches, we construct two novel intensity measures that capture the monetary value of emissions: average carbon cost (Cost/GHG) and green-revenue intensity (GR/GHG). Using global firm-level data from 2008 to 2022, we find that exposure to carbon costs is strongly associated with increased default risk, while the evidence for green-revenue intensity is more modest and does not translate into a clear reduction in market-implied default probabilities. On average, a $1,000 increase in carbon cost per tonne of emissions is associated with a 0.70 percentage point rise in the probability of default and a reduction in Distance-to-Default, and these relationships remain robust when absorbing time-varying industry cycles and country-level macro and policy conditions. The association between carbon-cost exposure and default risk is most pronounced in high transition-risk sectors and is weaker in firms with higher managerial ability and operational efficiency. Overall, the results highlight the importance of incorporating monetary valuations of transition exposures when assessing climate-related credit risk.
🔗 Provenance — このレコードを発見したソース
- crossref https://doi.org/10.1007/s10479-026-07193-yfirst seen 2026-05-14 23:14:54
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