Banca de DEFESA: VIVIANE HELENA TORINELLI

Uma banca de DEFESA de DOUTORADO foi cadastrada pelo programa.
STUDENT : VIVIANE HELENA TORINELLI
DATE: 08/03/2022
TIME: 13:00
LOCAL: Ambiente virtual Zoom
TITLE:

ENVIRONMENTAL AND CLIMATE RISK MANAGEMENT: A FRAMEWORK FOR A RESILIENT MANAGEMENT OF THE INTERNATIONAL RESERVES BY CENTRAL BANKS

KEY WORDS:

Environmental and climate risk management, international reserves, central banks

PAGES: 208
BIG AREA: Ciências Sociais Aplicadas
AREA: Administração
SUMMARY:

Environmental and climate factors are a source of financial risks. Risks need to be identified, measured, and managed. Even though proper risk management is essential for efficient investment management, environmental and climate risk management is a challenge to investors, including central banks when acting as investment managers. Central banks are among the largest global investors, managing international reserves totaling trillions of dollars. The theoretical and practical gaps in this subject were highlighted by NGFS, the Network of Central Banks for Greening the Financial System. In this context, this thesis focuses on how to manage the exposure to environmental and climatic risks of the international reserves, without prejudice to the economic and financial objectives of central banks. The specific research objectives were to: I) Identify the environmental and climate risks to which central banks are exposed as managers of international reserves; II) Identify/propose a methodology for assessing the exposure to environmental and climate risks of an investment portfolio with the investor profile of central banks; III) Propose a framework to address environmental and climate risk in the strategic allocation of assets of international reserves, without prejudice to the economic and financial objectives of central banks; IV) Validate the framework, quantifying the possible economic and financial impacts resulting from its application. To address these objectives, this thesis is based on three studies. In the first one the risks were analyzed, and a framework was proposed for environmental and climate risk management of the international reserves. The second study discussed the application of the framework to a sample of central banks from Latin America and the Caribbean. The third study tested the application of the framework, including portfolio optimization and multi-objective analysis. The conclusion is that environmental and climate risk analysis should be included in the traditional approach to strategic asset allocation by central banks at least due to the relevance of the environmental and climate risks to which international reserves are exposed. As a result of the applied framework, with multi-objective analysis, the management of the international reserves can become more resilient to environmental and climate risks without undermining the financial and economic objectives of the central banks. Also, this management may eventually compose a strategy of positive impact in the real-world. This thesis is relevant to the investment management perspective of the international reserves, to safeguard the execution of the monetary and foreign exchange policies using those reserves and for the possible real-world effect of the strategic asset allocation.

BANKING MEMBERS:
Externo à Instituição - ANNELISE VENDRAMINI FELSBERG
Externo à Instituição - ANDRÉ LUIS ROCHA DE SOUZA - IFBA
Presidente - 2003461 - ANTONIO FRANCISCO DE ALMEIDA DA SILVA JUNIOR
Interno - 2182318 - JOSE CELIO SILVEIRA ANDRADE
Externo à Instituição - JULIANO ALMEIDA DE FARIA - UFS