The AIFIRM position paper "Credit Pricing 2.0" updates and expands the 2021 work on credit pricing and riskadjusted profitability measures, integrating three lines of evolution: (i) the full enhancement of counterparty and product characteristics in pricing models and processes, (ii) ESG integration—with a focus on physical and transition climate risks—in risk metrics and pricing policies, and (iii) the use of Artificial Intelligence (AI) and big data to improve risk discrimination, segmentation and pricing (including dynamic). The paper is supported by a survey of the Italian banking system that updates evidence and market practices.
Credit Pricing 2.0 / F. Fiordelisi, C. Palego, A. Cremonino, V. Lazzaroli, C. Meglio, A. Pentola, G. Scardozzi, M. Vallino, N. Andreis, F. Battilani, F. Bianchi, P. Brighi, A. Caltroni, G. Calzini, W. Capra, L. De Patre, A. Duqi, C. La Chioma, V. Francaviglia, S. Gentili, S. Ghiottone Gian, C. Giliberto, D. Girardi, V. Marini, T. Mauceri, P. Merella, M. Mussoni, G. Papiro, M. Parata, G. Perboli, A. Pezzotta, P. Porretta, G. Rega Federico, N. Rosa, A. Siciliano, M. Talone, L. Tarantino, A. Tribellini, F. Venezia, G. Zennaro. - [s.l] : AIFIRM - Associazione Italiana Financial Industry Risk Managers, 2026 Mar. [10.47473/2016ppa00052]
Credit Pricing 2.0
P. Brighi
;
2026
Abstract
The AIFIRM position paper "Credit Pricing 2.0" updates and expands the 2021 work on credit pricing and riskadjusted profitability measures, integrating three lines of evolution: (i) the full enhancement of counterparty and product characteristics in pricing models and processes, (ii) ESG integration—with a focus on physical and transition climate risks—in risk metrics and pricing policies, and (iii) the use of Artificial Intelligence (AI) and big data to improve risk discrimination, segmentation and pricing (including dynamic). The paper is supported by a survey of the Italian banking system that updates evidence and market practices.
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