安联（Allianz）：淘汰劣质标的：以可持续指标构建信用筛选体系报告（英文版）（21页）.pdf

1、Allianz Research03 June 2026Weed out the laggards:Sustainability as a credit filter Allianz Research2Allianz ResearchContent Page 3-5 Executive SummaryPage 5 Unsustainable practices can generate financial stressPage 6-11 Sustainability matters for credit quality and credit riskPage 12-14 Implication

2、s for financial institutions,investors and businessesPage 15-17 Appendix:Data and methodology details 03 June 2026 Financial fundamentals remain the primary drivers of credit risk.Across more than 7,400 companies and 280,000 firm-year observations,profitability(ROA),leverage and size collectively ex

3、plain the vast majority of variation in credit risk.Sustainability is statistically significant but smaller in magnitude:financial fundamentals carry coefficients 3-7 times larger than the sustainability variable in our global sample.A firms balance sheet,earnings power and scale determine whether i

4、t can service its debt-sustainability adds an incremental but real signal on top of that financial bedrock.Sustainability acts as a credit-risk filter,but its signal concentrates at the bottom of the distribution.Weaker sustainability is consistently associated with higher default risk.A one-decile

5、improvement in sustainability(roughly+7.5 points on a 0-100 scale)corresponds to an approximately 0.25pp reduction in default probability-a 12-25%relative reduction for firms in the worst default-risk decile.The relationship is non-linear:moving from poor to average sustainability materially improve

6、s credit outcomes;moving from average to best-in-class delivers little additional benefit.Environmental performance is the clearest predictor of default risk.A 10-point improvement in the environmental score is associated with a 0.9-point gain in the Altman Z-score-enough to move borderline firms ou