Gestão de risco ambiental e climático: uma estrutura analítica para uma gestão resiliente das reservas internacionais pelos bancos centrais

Abstract

This study addresses how to consider environmental risk analysis in the strategic asset allocation of the international reserves managed by central banks. For that, a multicriteria analytical framework is proposed for the evaluation of the environmental risk exposure of an investment portfolio, compatible with the investor profile of the central banks. Thus, the framework includes the environmental risk analysis in the traditional approach for strategic asset allocation of the international reserves. Environmental risks, as climate physical and transition ones, are resulting in a range of financial risks, but environmental risk analysis is still incipient in the financial investment sphere, especially among central banks. Reports of the NGFS, the Network of Central Banks for Greening the Financial System, and NGFS members were reviewed and we´ve found no specific indication of environmental risk analysis as input on strategic asset allocation of the international reserves. Thus, the main argument of this study is that since environmental risk analysis is included in the traditional approach for strategic asset allocation, international reserves’ investments will be more resilient to environmental and climate risk exposures. The framework discussed in this paper suggests that for each viable portfolio the central bank should use scenarios of environmental risks along probabilities and potential impacts to choose the appropriate portfolio. The risk and return relationships of the portfolios in each scenario should be evaluated based on the environmental factors.