Content

According to the ECB, more than 75% of the largest EU banks have reported to be materially exposed to climate-related and other environmental (C&E) credit risks. Both physical and transition risks can have significant impact on banks’ credit portfolios, already within their current business planning horizon. Regulators and supervisors have also advanced their C&E risk expectations in light of these elevated credit risks, as for example illustrated by the revised ECB Guide on Internal Models [2024] and EBA Guidelines on ESG Risk Management [under consultation]. This workshop focuses on the (upcoming) requirements and expectations related to the measurement of C&E-related credit risks. It will address the following themes:

• Data collection & management – data availability, minimum data requirements and granularity & plausibility of data.
• Risk identification & materiality assessment – risk drivers, assessment methodologies and risk metrics.
• PD & LGD modelling for IRB approach – risk differentiation, risk quantification and collateral valuations

Learning Goals

After completing this course, the participants will be able to:

• Gain an overview of evolving regulatory landscape related to the measurement and modelling of C&E-related credit risks .
• Understand how a comprehensive assessment of the materiality of C&E risks is organized​.
• Identify ways to address C&E-related credit risks in IRB modelling, also recognizing relevant uncertainties, modelling challenges and data unavailability

Target Audience

• Credit risk managers
• IRB model developers and validators
• Auditors
• Specialist supervisors and JST members

Prerequisites

The material will be taught in English. Participants are advised to come equipped with an understanding of credit risk and regulation.

Schedule

The course consists of one session of 4 hours. The track schedule will be planned in coordination with the client.

Example case studies

For this module, examples of case studies are

• Identifying how to assess if and when C&E risk drivers are material
• Determining appropriate ways to integrate C&E risk factors in IRB modelling

Please Contact us for details and options.