Basel's "Principles for the effective management and supervision of climate-related financial risks" puts forward expectations that banks should integrate transition and physical risks into traditional credit indicators such as probability of default (PD), loss given default (LGD), and exposure at default (EAD). Despite this, research conducted by IMF shows that credit risk modelling conducted by financial institutions are not yet fully pricing in climate risk. Finance professionals working in credit and loans are increasingly needing to understand how to systematically integrate these newer risks in their models, as well as how to source and adjust related data, to help their organisations better manage credit risks.
This course, delivered in partnership with WeESG, explores the advanced concepts of climate-related credit risks and how to address the current limitations associated data availability. Participants will gain a deep understanding of the related risk transmission channels and best practices to effectively integrate these in key credit indicators. This course will leave participants with the skills needed to enhance financial models by capturing climate risk while at the same time meet the expectations set forth by financial supervisors.
Two half-days (taught material + exercises, case study analysis & Q&A section)
Explore the mechanisms through which physical, transition and liability climate risks impact corporate finances and credit risk metrics including probability of default (PD), loss given default (LGD), and exposure at default (EAD).
Understand the key steps and challenges of incorporating climate risk in credit risk modelling.
Analyse the implication of key regulatory advancements around integrating climate in risk models for financial institutions.
Gain knowledge on the best practices on credit risk scorecards, data treatment and pre-empting the new challenges to come around reporting
Trainer: Zsuzsanna Tajti
Zsuzsanna has 15 years of experience in the banking sector, having worked at Raiffeisen, OTP, and KBC.
She specializes in credit risk, sustainable finance, ESG, and climate risk. She has practical experience in integrating ESG assessments into loan origination, conducting climate stress testing and scenario analysis, measuring ESG risks, setting climate transition targets, and reporting in alignment with TCFD guidelines.
Currently, Zsuzsanna works as a Senior Manager Advisor on climate/ESG and credit risk, regulatory and financial risk management for a Big4 consultancy.