Climate Stress Testing Forum agenda

Day One | Nov 29


Registration and breakfast

Day 1 moderator: Scott D. Aguais, Ph.D, Managing Director and Founder, Z-Risk Engine


Chairs opening remarks


Reviewing requirements under regulatory scenarios and future expectations for climate stress testing globally

  • Bank of England, European and NGFS scenario outline
  • Best practice across banking and trading book
  • Translation of scenario to capital for organizations
    • Leveraging to drive lending strategy
  • Limitations of NGFS approach and standardized scenarios
  • Developing a standardized framework that adds risk to the scenario
  • Evolution of regulatory driven climate scenario

Stephane Dees, Head of Climate Economics Unit, Banque de France

Mourad Berrahoui, Managing Director – Global Head of Counterparty Pricing and Risk Analytics, Lloyds Banking Group

Erica Sassu, Managing Director, Global Climate Risk, Bank of America


Developing internal capabilities to generate climate scenarios beyond a regulatory exercise

  • A history of climate scenarios
  • From long-term to short-term scenarios
  • Short-term climate scenarios – Spectrum of plausible shocks
  • Key challenges in Climate Scenario Analysis
  • Scenario choice aligned with use cases
  • Scenario customization integrated into the design process
  • 3 use cases for scenario customization

Antonio Timoner-Salva, Global Senior Lead Manager Strategic Planning & Stress Testing, HSBC

Lorenzo D’Auria, VP Enterprise Climate Stress Testing, Bank of America


Morning refreshment break and networking


An integrated approach for developing climate stress test scenarios: Combining climate-adjusted company-level credit models with detailed industry and region credit risk factors.

  • Specifying climate-adjusted credit models to assess physical and transition risks.
  • Assessing climate volatility impacts on companies and industry/region systematic credit factors.
  • Integrating company-level climate-adjusted PD scenarios with credit factor simulations.
  • Applying a flexible climate stress scenario framework to support key bank regulatory and risk management objectives.

Scott D. Aguais, Ph.D., Managing Director and Founder, Z-Risk Engine


Managing complex data requirements to incorporate climate into stress testing models

  • Data requirements to incorporate climate into stress testing
  • Executing effectively with limited reliable historical data
    • Roadblock to building reliable models
  • Availability of data for sector differentiation to support analysis
    • Reflecting sector differentiation and pathways in models and stress testing
    • Bank of England request for sectoral differentiation of results
  • Collecting granular data for decision making across portfolios and clients
  • Collecting asset level data to identify vulnerabilities
  • Converting climate data into financial data
  • Identifying data relevant to unique portfolio structures
  • Cost benefit and comparative analysis on data

Marc Irubetagoyena, Head of Group Stress Testing and Financial Simulations, BNP Paribas


Quantifying climate risk for IFRS 9: economic, financial, physical, and transition risks

  • Quantification of climate, physical and transition risks
  • Reviewing quantification approaches for physical risk
  • Understanding how organizations translate transition risk into financial impacts
    • Impact on stress testing
  • Availability and quality of data and data providers
    • Challenges for physical risks
  • Building transparency into quantification techniques
  • Modeling transition risks
    • Incorporating secondary impacts into quantification

Chris Kenyon, Global Head Quant Innovation, MUFG


Lunch break and networking


Developing innovative methods to incorporate physical and transition risks within stress testing

  • Reviewing industry approaches to physical and transition risk. DNB & ECB
  • Reviewing top down vs. bottom up approach to transition risk
  • Forecasting capabilities with limited historical data
  • Modeling and capturing physical risk
  • Identifying transition and physical risks for scenario selection. NGFS. RCPs
  • Managing intangible nature and challenges measuring transition risks
  • Developing robust scenario formulation processes
  • Combining internal and external views and resources to tailor scenario
  • ESG & IRB models. Strategy. Pros and Cons

Alvaro J. Fernandez Toledo, Sr Lead Validator & Head of Climate Risk Working Group, ING


Managing complexity of modeling requirements with longer time horizons for climate scenarios

  • Merging climate and economical science
  • Data requirements for complex modeling
  • Ensuring explainability of models for regulatory review
  • Modeling time horizons required for climate risk
  • Developing forward looking models to forecast climate risks
  • Techniques to validate climate risk models
    • Ensuring correct dimensions are tested and validated
  • Developing consistent modeling and validation approaches
  • Identifying deterioration of risks in the future

Sahil Joshi, Director of Stress Testing, Prudential Risk, Macquarie Group

Sebastian E V Werner, Head of Climate Risk Scenario Design, Citi

Vivien Foetz, Sr Lead Validator & Head of Climate Risk Working Group, ING


Afternoon refreshment break and networking


Embedding climate risk into BAU and operational decisions with forward looking projections

  • Stressing the correct base to ensure accuracy of numbers
  • Incorporating climate risk on top of traditional PD and LGD approaches
  • Embedding climate risk into existing systems
    • Impact of climate risk on PD from a transition risk
  • Capturing transition risk and filtering through to PD
  • Industry convergence on approaches to capture physical and transition risk
  • Impact of wide range of results across the industry

Karen Wilkinson, Global Head, ESG and Reputational Risk, Standard Chartered Bank 

James Belmont, Partner, Climate Risk Lead, Baringa Partners


Reviewing approaches for climate stress testing and impact to capital and liquidity stress test

  • Reviewing regulatory expectations for holding capital for climate change
  • Market risks with public stress test results
  • Penalties for banks not adequately prepared for climate risk capital
  • Incorporating climate risk within market and idiosyncratic scenarios vs. standalone
  • Incorporation within liquidity risk stress tests
  • Understanding liquidity impact of climate scenarios
  • Developing credible assumptions with evidence
  • Defining and calibrating scenarios to understand capital and liquidity impact
  • Leveraging internal and external data to validate assumptions

Ying Poikonen, Executive Director – Head of Modeling Group EMEA, SMBC

Doug Baird, Head of Climate Risk Analytics and Pension Risks, NatWest

Aileen Long, Head of Climate Stress Testing & Analytics, Citi


Risk identification and long term capture: Climate risk as a risk of the future

  • Identifying risks to stress test
  • Developing a risk register across portfolios
  • Adjusting risk register as changes progress
  • Identifying future and prospective risks that may materialize as a result of climate risk
  • Reliability for decision making long term
  • Diversification and hedging strategies as a result of climate stress tests
  • Evolution of knowledge around climate and future regulatory expectations
  • Long term considerations for global organizations

Michaela Seimen, Sustainability Expert Client Specialist, UBS


Chair’s closing remarks


End of day one and drinks reception