Risk Live: Model risk managers fear they lack the data or skills to properly test expert judgement
Climate, crypto and market impact also featured among the top research topics in 2023
The authors investigate the tail sensitivity of US industry returns in relation to changes of carbon-driven climate risk, finding that tail sensitivities rise with the greenhouse has emissions of an industry.
The authors propose a means to capture climate change risk exposure by combining a green factor with typical frameworks used for explaining stock returns.
Price adjustments will depend on individual counterparties’ carbon footprints
But banks say heavy modelling demands will take time to respond to adequately
The author investigates the relationship between climate change and credit risk characteristics of individual obligors and portfolios of credit obligations.
Risk managers have a tried and tested toolkit for market risk, but recent events and developments have highlighted the need for increasing rigour around liquidity risk and climate risk. This webinar explores the evolving scope of buy-side risk management…
Prerna Divecha of S&P Global Market Intelligence discusses the changing requirements for financial institutions in developing a robust and comprehensive view of climate risk
The ‘social’ pillar of ESG has been the poor relation in terms of data – until now
Market risk professionals see major shortcomings in available scenarios
Panellists at Risk Live Europe 2023 discussed what has been achieved so far in climate risk stress-testing and modelling, alongside what needs tackling next
This white paper explores climate strategies targeting objectives – including low carbon, fossil fuel-free and net zero – to help investors respond to the risks and opportunities of the climate challenge
Risk Live: Splintered approach to stress-testing across jurisdictions “very, very worrying”, says risk expert
Regulator could use proposal to assess progress of banks towards climate goals
As the world grapples with the impacts of climate change, organisations are racing to keep up with new ESG disclosure requirements and climate risk analysis methodologies. But what separates those ahead of the curve from those that are lagging? The…
Banks still unclear on how to fit climate events into existing capital framework
In this webinar convened by Risk.net in collaboration with SS&C Algorithmics, experts discuss the challenges and benefits of incorporating climate risk into asset-liability management frameworks at banks
A method to price the environmental impact of financial products is proposed
Long-awaited US climate risk exercise puts tough pressure on banks’ data and models
This paper explores the relationship between banks exposed to climate-policy-relevant sectors and credit risk, finding that banks exposed to higher carbon emitting sectors are subject to greater credit risk than those exposed to less carbon emitting…
The biggest op risks for the year ahead, as chosen by senior industry practitioners
Geopolitical frictions, sticky inflation and a hard landing are among the hazards cited by investors
Risk officers, managers and quants at leading buy-side firms are experimenting with ESG as an ‘alpha enhancement’ to day-to-day risk management, to stay ahead of the pack and boost profit-and-loss margins