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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SpeakersCecilia 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 Moody's
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Joss Matthewman rejoined RMS in 2020 as Senior Director of Climate Change Product Management. Prior to this Joss was Head of Catastrophe Exposure Management at Hiscox, responsible for natural catastrophe, war, terror and political violence exposure management and reporting across the group.
Before joining Hiscox, Joss spent seven years in model development at RMS where he worked on the North Atlantic Hurricane and Asia Typhoon models, before being appointed Head of Storm Surge Modelling. During this period Joss was a member of the Bank of England’s Prudential Regulation Authority working group on climate change in the insurance industry.
Prior to entering the insurance industry Joss obtained a PhD in Applied Mathematics from UCL and worked as a postdoctoral researcher in climate science at the University of California, Irvine. His published areas of research include stratospheric sudden warmings, and the impact of sea-ice on global atmospheric teleconnections.