The article presents the impact of sustainable development regulations on changes in business, opportunities to build competitive advantages and actual implementation processes that limit ESG risks in financial institutions. The results of the analyses confirm the significant impact of the ESG taxonomy on the conditions of conducting business, risk calculation, reporting and disclosure. The multidimensionality of ESG risk, the long-term legislative, implementation process and the complexity of adaptation activities are the main challenges. Actions taken in the internal environment of the institution and externally, towards stakeholders, serve to strengthen competitive advantages. Mitigating ESG risks in the current portfolio of assets of the institution is of key to improve relations with investors who are willing to invest in sustainable companies, seeing in them lower risk and greater development potential. Building long-term competitive advantages in the ESG area will increase the value of enterprises in the future. The leaders of changes in sustainable activities in the world are retail, commercial banks in Europe, the USA, with the growing importance of China and Japan.