World Business StrategiesServing the Global Financial Community since 2000

Day 2: Friday 17th May

08.30 – 09.00

Morning Welcome Coffee

09.00 – 09.45: Permanence product design and pricing

  • Missing point in carbon capture markets: certainty and duration of CO2 capture
  • Mitigation-Duration Forward (MDF) contract specification
  • Problem statement: cost to capture CO2 for a given duration with certainty
  • Modelling integrating physical, financial, and technology factors
  • Numerical examples

Chris Kenyon:

Director: Head of XVA Quant Modelling, MUFG Securities EMEA plc

09.45 – 10.30: How to identify portfolio exposure to transition risk and opportunities

Global investment in the low-carbon transition surged past $1.7 trillion last year, or nearly 2% of global GDP, with the cost of key technologies, such as solar, wind, batteries and electric vehicles dropping dramatically. The impact of low-carbon asset deployment is starting to be felt, leading to heightened climate transition risk for incumbent companies, but also, unique opportunities for new entrants and first movers. Navigating the energy transition requires robust exposure assessment and scenario analysis to control for potential changes in policy, technology and consumer preferences. In this session, we take a deep dive into two key questions for investors:

  • How to identify portfolio exposure to transition opportunities?
  • How climate scenarios can help limit portfolio exposure to transition risk?

Mike Daly:

Senior Data Lead, Transition Risk, BloombergNEF

10.30 – 11.00: Morning Break and Networking Opportunities

11.00 – 11.45: Apply Climate Scenario Analysis and Modelling in a Practical way across Portfolios

David Jessop:

Head of Investment Risk, Columbia Threadneedle Investments EMEA APAC

11.45 – 12.30: Panel Discussion: Climate Risk Modelling: A Practitioner Perspective

Rutang Thanawalla:

Visiting Fellow, London Institute of Banking & Finance & Strategic Adviser, Climate Tech

Chithra Namboodiri:

Global Head of ESG Risk Analytics, HSBC

Mourad Berrahoui:

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

12.30 – 13.30: Lunch

13.30 – 14.15: Navigating the Climate Frontier: Unveiling the Impact of Transition and Physical Risks on Loan Portfolios

During this session we delve into the forefront of climate risk management. In this presentation, we will explore tangible and practical insights into how transition and physical risks are reshaping the landscape for loan portfolios. By examining real-world use cases, we’ll uncover the ways in which transition risk disrupts the stability of home-owners, while physical risk poses challenges to both corporate entities and individuals. Brace yourself for an engaging session that goes beyond theory, providing actionable strategies to fortify loan portfolios against the evolving climate challenges. Don’t miss the opportunity to gain valuable insights into the dynamic interplay of climate risks and financial landscapes.

Maurits Bakker:

Risk Lead Benelux, SAS

14.15 – 15.00: Modelling Climate Risk for Reinsurance

Primary insurers require the reinsurance giants to participate in their underwriting risks of meteorological and other catastrophic impacts to be able to address the market. The reinsurance market is currently heavily in favour of reinsurers both with respect to price and to underwriting terms. The catastrophe bonds market has printed substantial profits since the last serious meteorological event (which occurred September 2022).

Risk management rests on analysis of historic events (such as Miami 1926) and advanced simulation. A number of techniques and critical uncertainties around climate modelling and adverse weather modelling from first physical atmospheric principles as well as mathematical and computational bottlenecks will be investigated.

Erik Vynckier:

Interim Chief Executive, Foresters Friendly Society

15.00 – 15.15: Afternoon Break and Networking Opportunities

15.15 – 16.00: Climate Risk Stress Testing: Creating tangible scenarios

The impact of climate change on the financial system is a concern to banks and to regulators alike, given its potential impact on the long-term quality of assets and collateral in the portfolio of banks. Given the longer-term nature of impact and constraints in modelling ability for climate risk impact, stress testing has been the first weapon of choice in quantifying impact. During recent years, industry practices have evolved, and fora such as the CFRF start collecting proven industry practices, which will sooner or later translate into a normative footprint.

Thomas Obitz:

Director, Risk Transform

  • Discount Structure
  • Special Offer
    When two colleagues attend the 3rd goes free!

  • 70% Academic Discount
    (FULL-TIME Students Only)

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