There are many top-down tools that attempt to model climate-related credit risks, but risks relating to the transition towards a low carbon economy often stem from complex regulation and hotly debated policy that are not easily captured in simplistic models. In this episode of Fixed on ESG, we focus on the EU autos sector as a means of exploring how we leverage our bottom-up research approach to analyse climate risks. We discuss the tightening of EU automobile manufacturer emissions targets, limitations of current climate value-at-risk (Climate VaR) models, and the research process we employ to integrate climate transition risks into our credit analysis.

PGIM Fixed Income's Alistair Shepheard-Walwyn, CFA, ESG Specialist, hosts this discussion with Chris Roberts, European Investment Grade Credit Research Analyst.

Recorded on November 26, 2024.