For the financial industry, ESG (environmental, social and governance) risks represent new sources of risk that need to be identified, assessed, monitored and managed. This is a challenging task given the novelty of these risks. The subject and goal of the research is to explain the meaning of the abbreviation ESG in its application. The purpose of the research is to clarify concepts, raise awareness and promote acceptance of regulations in the decision-making process. Incorporating environmental, social and governance (ESG) into active and passive investment portfolios has become a key part of the fast-growing sustainable investment sector. When portfolio managers incorporate ESG into their strategies, in addition to traditional financial risks, they add a new component of risk that CIOs and risk managers are familiar with. This paper will provide an overview of ESG risks, including self-definition risks, the collection and aggregation of ESG data itself. Portfolio characteristics relevant to ESG data integration and the challenges of building risk measurement and reporting tools are then discussed. Then the characteristics of the portfolio relevant to the integration of ESG data and the challenges of building tools for risk measurement and reporting are discussed, and at the end of the paper, the method of introducing ESG in the bank and the discussion of tail risks are presented using the example of Raiffeisen Bank.