Credit Risk of Climate Change on Residential Mortgages

The ECB 2022 Stress Test

In this webinar, we present a case study for the Dutch residential mortgages based on the European Central Bank (ECB) climate stress test scenarios released in January. A key challenge associated with this bottom-up stress test exercise is the expansion of the physical risk scenarios. The impact of acute physical risk needs be incorporated at the location level to accurately reflect a property’s exposure. 

Leveraging on the  Moody’s ESG (formerly 427) scores, we translate the ECB’s regional assumptions into property-specific impact by projecting HPIs at the property level based on exposure to flooding risk. We employ the Moody’s Dutch Mortgage Portfolio Analyzer© to calculate the impact of transition and physical risks on projections of credit risk metrics (PDs, LGDs, and credit losses). We will demonstrate how the approach can be adopted to analyse the impact of climate change beyond regulatory stress test.

  • Location-specific climate risk across Europe
  • ECB scenarios
  • Effect of climate transition risk 
  • Acute physical risk climate event
  • Climate-adjusted credit risk metrics
  • Speakers keyboard_arrow_down
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    Petr Zemcik Senior Director - Research Moody's Analytics Bio
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    Cecilia Bocchio Associate DIrector - Research Moody's Analytics
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    Leonie Chatain Associate Director, Climate Product Specialist Moody's ESG Solutions Bio
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