Giorgio Baldassarri

Giorgio leads the Analytical Development Group, part of S&P Global Market Intelligence’s Credit Risk Solutions. His team includes highly-skilled individuals with multiple qualifications in the financial and quantitative space (FRM, CFA, PhD) and develops all credit risk statistical models that power the Credit Analytics product.

Giorgio’s team developed several statistical models to assess credit risk of public and private companies, more recently including a trade-payment model that was used to succesfully monitor payment behaviour of SMEs during the 2020 pandemic.

On the climate-change front, Giorgio’s team developed two statistical models that estimate the financial and credit risk impact of energy transition scenarios on public and private firms:

• Climate Credit Analytics, developed with Oliver Wyman, offers a sector-specific, bottom-up approach for companies operating in carbon-intensive sectors.
• Climate Risk Gauge, developed internally, offers a consistent and scalable view across all industry sectors.

Giorgio regularly speaks at international credit risk conferences, webinars and events (RiskMinds, RISK EMEA, IECA). More recently, he authored a paper in the Journal of Energy Markets on the credit risk implications of various carbon tax scenarios (Journal of Energy Markets, Vol 13, number 2, pages: 1-24, June 2020) and spoke at several conferences (IRMC 2020, EDHEC 2020), panel discussions (“Navigating climate risk as a financial risk”) and webinars (“Tackling climate change for banks: the culture, the data and the analytics”) on banks’ challenges to implement climate-related stress testing scenarios, climate-related scenario analysis and credit risk assessment in TCFD reporting, and impact of various carbon tax policies on public companies credit-worthiness.