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.

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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

  • Speakers keyboard_arrow_down
    Cecilia Bocchio Associate DIrector - Research Moody's Analytics
    Zhenya Kosovan Data Scientist Moody's Analytics
    Arnaud Castéran Consultant - Risk Advisory RMS, A Moody's Analytics Company
    Joss Matthewman Senior Director, Climate Change Product Management & Strategy RMS, A Moody's Analytics Company Bio
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