Climate risk is the talk of the day in financial institutions, especially banks. Regulatory burden in climate risk is rapidly increasing, and from 2024, banks must incorporate climate risk drivers into their stress testing framework. However, there are no established methodologies yet and the lack and bad quality of data presents another severe obstacle. In this talk, I will address the topic of climate stress testing for banks based on several case studies: Dutch mortgage portfolio as well as global corporate credit and equity portfolios. I will zoom in on some interesting models, for example, those we developed for forecasting housing market transition and for energy labels imputation. This will be not your usual Operations Analytics talk, but more of a practitioner’s overview of challenges and possible solutions for climate stress testing.
Svetlana Borovkova: Climate Stress Testing for portfolios 21 March 2024 16:00 - 17:00
About Svetlana Borovkova: Climate Stress Testing for portfolios
Starting date
- 21 March 2024
Time
- 16:00 - 17:00
Location
- VU Main Building
Address
- De Boelelaan 1105
- 1081 HV Amsterdam
Organised by
- Operations Analytics
Language
- English
Svetlana Borovkova
Dr Svetlana Borovkova is an associate professor of quantitative finance and risk management at Finance department of VU and Head of Quant Modelling at risk advisory firm Probability & Partners. She is an author of over 60 scientific publications, regular invited speaker at major quant finance and risk conferences and writes regularly for Thomson Reuters, Refinitiv, LSEG and Financial Investigator.
Interested in attending the seminar or in giving a talk?
Please send an email to Tim Oosterwijk