An investor building a successful portfolio carefully chooses the financial contracts that best meet her risk profile. The securities that we consider are zero-coupon bonds which are risky since characterized by a certain probability of default. A certain level of correlation between them is present, positive or negative depending on the existing relationship between the firms under analysis. In the work, three parameters (correlation, default probability, and investor’s risk attitude) are leveraged and applied to the complex real economy, under a sustainable finance perspective. The core of the thesis deals with the interplay between defaultable-bond correlation and investors' risk aversion. After the Paris agreement was signed in December 2015, in the risk management environment it has become more evident that climate must be considered assessing the corporate bonds' soundness.