Modelling assets composing insurers’ portfolios from an environmental point of view is a challenging topic. The calculation of the Solvency Capital Requirement (SCR) may be adapted within internal models to take into account this increasing risk. In this paper, we present a methodology to integrate the so-called carbon risk factor within equity modelling, and we illustrate how it may impact the equity risk module for SCR calculation. Our discussion includes the following:

• Context
• Methodology
• Model calibration
• Model simulation