Integrated Credit Validation Modeling with ESG: Incorporating Climate Risk and Sustainability Indicators in Credit Rating
ESGを組み込んだ統合信用検証モデル：気候リスクとサステナビリティ指標を信用格付に組み込む (AI 翻訳)
Mohammad Qezelbash, Mohammad Mehdi Bagheri
🤖 gxceed AI 要約
日本語
本研究は、テヘラン証券取引所上場企業165社のパネルデータ（2015-2023年）を用いて、ESG指標と気候リスクを統合した信用格付モデルを開発・検証した。固定効果GLS推計の結果、ESG各次元は信用格付に正の影響、気候リスクは負の影響を与え、気候リスクが高いほどESGの正の効果が弱まることが示された。統合モデルは従来モデルより高い説明力を達成し、持続可能な金融システムへの実践的示唆を提供する。
English
This study develops an integrated credit validation model incorporating ESG and climate risk, using panel data from 165 Tehran Stock Exchange firms (2015-2023). Fixed-effects GLS regressions show ESG positively affects credit ratings, climate risk negatively affects them, and high climate risk weakens ESG's positive impact. The integrated model outperforms traditional models, offering practical value for sustainable finance.
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
イラン市場のデータを用いた研究だが、日本でも信用格付へのESG・気候リスク統合がSSBJや投資家対応で重要性を増しており、格付機関や金融機関にとって示唆に富む。特に統合モデルの精度向上は、日本の地域金融機関の与信判断にも応用可能。
In the global GX context
This paper contributes to the global discourse on integrating climate and ESG factors into credit rating, aligning with TCFD, ISSB, and regulatory trends like SEC climate disclosure. It provides empirical evidence from an emerging market, showing that ESG integration improves credit risk assessment, which is relevant for transition finance and sustainable financial systems worldwide.
👥 読者別の含意
🔬研究者:Provides a replicable methodology for integrating ESG and climate risk into credit rating models, with empirical evidence from an emerging market.
🏢実務担当者:Demonstrates how incorporating ESG and climate risk can improve credit risk assessment, offering a practical framework for financial institutions.
🏛政策担当者:Highlights the need for regulatory frameworks that promote ESG and climate risk integration in credit evaluation to enhance financial stability.
📄 Abstract（原文）
This study aims to develop and test an integrated credit validation model that incorporates environmental, social, and governance (ESG) indicators alongside climate risk into corporate credit rating assessments. A quantitative applied research design was employed using balanced panel data from 165 firms listed on the Tehran Stock Exchange from 2015 to 2023. The dependent variable was the firms’ credit score, while the independent variables included the three ESG dimensions and a composite climate risk index. Fixed-effects panel regressions estimated via generalized least squares (GLS) were used to analyze the relationships and interaction effects. Results revealed that environmental, social, and governance indicators each exert a positive and statistically significant influence on credit ratings, while climate risk has a significant negative impact. The interaction analysis further indicated that climate risk moderates the ESG–credit rating relationship: under higher climate risk conditions, the positive impact of ESG on creditworthiness weakens. The integrated model achieved the highest explanatory power (R² = 0.489), outperforming traditional credit assessment models. Integrating ESG indicators and climate risk into credit evaluation enhances model accuracy and provides a more comprehensive and realistic assessment of firms’ financial sustainability. The proposed model offers practical value for credit risk management and the development of sustainable financial systems.
🔗 Provenance — このレコードを発見したソース
- semanticscholar https://jafci.com/index.php/jafci/article/download/233/144first seen 2026-07-18 07:47:57
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gxceed は公開メタデータに基づく研究支援データセットです。要約・翻訳・解説は AI 支援で生成されています。 最終的な解釈・検証は利用者が原典資料に基づいて行うことを前提とします。