In this webinar, we explore how acute and chronic physical risk affect risk parameters for the U.S. and U.K. mortgages using the Moody’s Mortgage Portfolio Analyzer platform. Using Monte Carlo simulations, we illustrate the impact of frequency and severity of natural disasters on probability of default in the U.S. We then discuss the effect of climate change scenarios and location-specific exposure to climate hazards for the U.K. mortgage market.

• From climate risk to credit risk: Methodological challenges
• Impact of frequency and severity of natural disasters on the PD for U.S. mortgages
• Simulations of natural disasters in credit models using the U.S. Mortgage Portfolio Analyzer
• The effect of economic climate scenarios on the U.K. mortgages credit risk parameters
• Usage of location-specific climate risk scores to forecast climate-adjusted credit risk metrics

Moderator:
Muhammad Jafree, Assistant Director, Moody's Analytics

Speakers
Dr Petr Zemcik, Senior Director, Predictive Analytics, Moody's Analytics
Dr Pouyan Mashayekh, Senior Director, Head of Portfolio Analyzer Model Development, Predictive Analytics, Moody's Analytics
Cecillia Bocchio, Assisstant Director, Predictive Analytics, Moody's Analytics

Following the commencement of TRIM in 2016, there are has been a multi phased approach to the ECB’s TRIM exercise. As we are gearing up for a year of further TRIM exercises and transitioning to review of wholesale and low default portfolios, Moody’s would like to host this webinar to provide:

  1. Further insight to the challenges in the market thus far
  2. The common themes across Europe
  3. Remediation and best practice approaches

Following the commencement of TRIM in 2016, there are has been a multi phased approach to the ECB’s TRIM exercise. As we are gearing up for a year of further TRIM exercises and transitioning to review of wholesale and low default portfolios, Moody’s would like to host this webinar to provide:

  1. Further insight to the challenges in the market thus far
  2. The common themes across Europe
  3. Remediation and best practice approaches