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    Climate Change Impact on Credit Risk of the U.K. and U.S. Mortgage Portfolios

    April 2021

    Natural disasters have the potential to devastate entire regions and to cause loss of life and property.

    They have become even more frequent and destructive over the last decades, as shown by empirical data. Policymakers worldwide worry that this may also have negative effects on financial stability.

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

    Key themes are:


    - 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

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