  It is important for policymakers to understand which financial policies are
effective in increasing climate risk disclosure in corporate reporting. We use
machine learning to automatically identify disclosures of five different types
of climate-related risks. For this purpose, we have created a dataset of over
120 manually-annotated annual reports by European firms. Applying our approach
to reporting of 337 firms over the last 20 years, we find that risk disclosure
is increasing. Disclosure of transition risks grows more dynamically than
physical risks, and there are marked differences across industries.
Country-specific dynamics indicate that regulatory environments potentially
have an important role to play for increasing disclosure.
