Linking Catastrophe Modelling to Credit Risk
A Case Study for UK Residential Mortgages
In this webinar, we will combine Risk Management Solutions' (RMS) long-standing catastrophe modelling expertise related to flood risk with UK residential mortgages credit risk.
Climate resilience of the banking sector has become an important factor for shaping credit risk management. We will present a case study to determine the effect of flood risk on PDs, LGDs and credit losses based on the simulation of location-specific flood events and the corresponding expected damages at the property level. We will use the credit risk models embedded in Moody’s Mortgage Portfolio Analyzer to produce climate-adjusted credit risk metrics.
We will discuss the following topics in this webinar:
- Catastrophe modelling and mortgage industry
- Location level damages due to flood events
- Climate-adjusted credit losses for UK mortgages
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