In this paper, we propose a method to assess the climate risk of a portfolio, and the contribution of each portfolio component to this risk. The data needed to evaluate the risk is not only the carbon emissions of the companies but also the investments made by the companies to reduce their carbon footprint. In the second section, we propose a model that allows us to isolate in the return the component related to the cost of carbon emissions in order to calculate the attribution effects independently of the carbon footprint of the companies.