As the impact of climate change has become more pronounced, regulators have started requesting financial institutions conduct assessments of their portfolios. The Bank of England 2021 Biennial Exploratory Scenario aims to assess financial risk from climate change for key financial institutions in the UK. This requires moving beyond qualitative to quantitative credit risk assessment.

In this webinar we will present our methodology for UK mortgages showing the impact of flood events on risk parameters such as PDs, illustrating how to combine climate change scenarios, location-specific risk scores generated by 427 and credit risk models

Topics discussed:

  • Climate change and credit risk quantification framework: The case of mortgages
  • 427 location-specific physical climate risk scores for the UK: Floods, heat stress, hurricane and typhoons, sea level rise, water stress, and wild fires
  • Whether flood events affect the probability of mortgage default
  • Constructing score-adjusted climate change scenarios and climate-adjusted credit risk metrics

Moderator
Muhammad Jafree, Assistant Director - Strategist, Moody's Analytics

Speakers
Dr Petr Zemcik, Senior Director, Moody's Analytics
Natalie Ambrosio Preudhomme, Director, Four Twenty Seven Inc
Cecilia Bocchio, Assistant Director, Moody's Analytics

Following the commencement of TRIM in 2016, there are has been a multi phased approach to the ECB’s TRIM exercise. As we are gearing up for a year of further TRIM exercises and transitioning to review of wholesale and low default portfolios, Moody’s would like to host this webinar to provide:

  1. Further insight to the challenges in the market thus far
  2. The common themes across Europe
  3. Remediation and best practice approaches

Following the commencement of TRIM in 2016, there are has been a multi phased approach to the ECB’s TRIM exercise. As we are gearing up for a year of further TRIM exercises and transitioning to review of wholesale and low default portfolios, Moody’s would like to host this webinar to provide:

  1. Further insight to the challenges in the market thus far
  2. The common themes across Europe
  3. Remediation and best practice approaches

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