Credit Risk Assessment in the Climate Shadow: Evidence From White and Grey Literature
通过文献计量和系统综述方法，梳理白皮书和灰色文献中气候变化对信用风险要素（如违约概率、违约损失率）的影响，指出创新主要来自灰色文献但缺乏实证验证，为银行、学者和政策制定者提供参考。
ABSTRACT Climate change is reshaping financial stability, making climate risk a critical component of banks' risk management. However, the absence of standardized frameworks validated by central authorities hinders banks' ability to integrate climate risk into existing credit risk models. This study employs a bibliometric and systematic literature review approach to examine the existing white and grey literature regarding the impact of climate change on credit risk components, like probability of default (PD), loss given default (LGD), exposure at default (EAD), and unexpected loss (UL). We highlight that innovations in climate‐adjusted credit risk estimation primarily stem from grey literature but lack empirical validation in academic research. This study encourages academics to refine climate‐adjusted risk metrics, financial institutions to evaluate their applicability, and policymakers to establish a more coherent regulatory approach. It also offers clarification to bank managers and practitioners on which methodologies are most applicable. Our study explains theoretically how climate risks affect creditworthiness and contributes to the development of standardized methodologies for their consistent integration into risk assessments.