Climate Hazard Modelling: Impact of Floods on Credit Risk for the UK Mortgages
In this webinar we will present our methodology for UK mortgages showing the impact of flood events on risk parameters such as PDs, illustrating how to combine climate change scenarios, location-specific risk scores generated by 427 and credit risk models.
Topics discussed:
Climate change and credit risk quantification framework: The case of mortgages
427 location-specific physical climate risk scores for the UK: Floods, heat stress, hurricane and typhoons, sea level rise, water stress, and wild fires
Whether flood events affect the probability of mortgage default
Constructing score-adjusted climate change scenarios and climate-adjusted credit risk metrics
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