Navigating Climate Credit Risk: Insights from NGFS III for Corporates
Please note: Registration will close 24 hours prior to the start of the live event.
Network for Greening of the Financial System (NGFS) climate scenarios have become a financial industry standard. We employ their latest iteration to illustrate the impact on the corporate PD projections from the Moody's Climate Adjusted Expected Default Frequency model. The model links global and sectoral dynamics with physical risk assessment and emissions at the company level.
Modelling challenges include combining physical risk across climate hazards as well as deriving firm-level metrics from the transition risk implied sectoral pathways.
Regulators across the globe require usage of different Integrated Assessment Models to characterize transition risk. Our modular approach enables us to quantify the impact of these modelling choices.
- Climate Adjusted Corporate PD Modeling in a nutshell
- NGFS Scenarios' Evolution: Net Zero and Nationally Determined Contributions imply lower emissions
- Conceptual challenges for physical risk scoring
- From sectors to the firm level: Moody's Transition Risk Oligopoly Model
- Does the used IAM matter? GCAM vs REMIND, where REMIND is preferred for the FED climate stress test
- What's next in the climate credit risk modelling
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SpeakersPetr Zemcik Senior Director - Research Moody's Analytics
Kat Giamalaki Assistant Director Moody's Analytics
Mateusz Giezek Director Moody's Analytics
Nils Grevenbrock Associate Director - Research Moody's Analytics
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Dr. Petr Zemcik is a Senior Director at the Moody’s Analytics London office who supervises a focused applied research team of risk modelers and data scientists located in the UK, the US, Czechia, and UAE. Petr leverages on his extensive experience as an engagement lead for internal and external projects to design and validate retail and corporate PD/LGD/EAD credit risk models for IFRS 9, A-IRB, and stress testing, as well as macroeconomic country and regional models for economic forecasting. His team currently concentrates on linking climate change scenarios to credit risk and on embedding macroeconomic scenarios across credit risk models, while also working on projects and products related to regulatory compliance for stress testing & ICAAP and CECL & IFRS 9. The team con tributes to the support of the following Moody’s credit risk products and models: Corporate Expected Default Frequency (EDF) for Risk Calc and Credit Edge; Credit Transition Model (CTM) & Moody’s Market Implied Ratings (MIR); and PD/Prepayment/LGD/EAD for retail portfolios in the Portfolio Analyzer (PA) platform. Petr previously worked at CERGE-EI, a joint workplace of the Center for Economic Research and Graduate Education of Charles University in Prague and the Economics Institute of the Academy of Sciences of the Czech Republic, and at Southern Illinois University in Carbondale. He holds a PhD and an MA in Economics from the University of Pittsburgh and an MSc in Econometrics and Operations Research from the University of Economics in Prague.