Transition Risk: From Policy Events to Carbon-Price Scenarios

Introduction & Programme

Carbon prices affect an insurer through its investments in power, industry and transport, through the businesses it finances or insures, and through the transition scenarios used in the ORSA. NGFS pathways are commonly used for that purpose, but they are exploratory long-term scenarios rather than forecasts: they carry no assigned probability and provide limited guidance on how a traded carbon price may move over the next one or two years.

This web session builds the missing piece from the ground up, using real market, emissions and regulatory data. The EU Emissions Trading System is unusual among financial markets in that its supply is written in law: the cap, its annual reduction, the Market Stability Reserve and the cancellation rules can be reconstructed year by year from the legal record, and the market's reaction to changes in that record can be measured day by day. Participants will see how a daily policy-surprise series is built and benchmarked against an independent academic series, what it can and cannot identify, including a real identification failure that is more instructive than a textbook success, how a change in the carbon price reaches power-sector emissions through fuel switching, and how these pieces compose into a stochastic scenario generator that produces price regions for one to twenty-four months ahead, tested as of past dates against realised prices, including where it does no better than a random walk and why that is itself the finding, and read against the NGFS scenario paths.

This web session is practical throughout. Each block works through a decision problem using the EU ETS as a case study, showing the relevant evidence, the resulting estimate or scenario, and the caveat that goes with it. Participants will learn how to interrogate these outputs and apply the same questions in their own work. No coding or specialist software is required.

Preliminary Programme

Wednesday, 10 February 2027

All the above times are given in CET (Central European Time).

Learning Objectives & Approach

The goal of this web session is to enable participants to specify and critically review a carbon-price scenario that can be defended in front of a supervisor, a board or a referee. After the session participants will be able to explain how the EU ETS sets the supply of allowances through law, reconstruct the legislated cap and its main supply adjustments, and recognise where the published data do not yet close the allowance-bank identity; distinguish the policy-driven component of carbon-price movements from ordinary market noise and state what an event-study measurement can and cannot identify; describe the fuel-switching mechanism through which the carbon price reaches power-sector emissions and why its effect depends on the state of the gas and coal markets; specify and critically review a scenario generator built from a legislated path, an estimated propagation, policy-event noise, exogenous fuel scenarios and an explicit treatment of weather assumptions, with the consistency checks that keep the layers from double-counting; and test a scenario fan against realised prices (coverage, calibration and skill against a random walk) and read an exposure against the NGFS scenarios with a scorecard rather than a single path.

The approach combines explanation with worked exhibits and demonstrations of the model's outputs. Each block starts from a question a risk function actually faces, shows the data and the method that answer it, and ends with the number, the band around it and the caveat that goes with it. Participants receive the slides, a methods appendix setting out the principal calculations, and selected exhibit data, allowing them to examine the results and adapt the framework to their own work.

Participants

This web session is suited for actuaries and risk professionals working on ORSA and climate scenario analysis, builders of economic scenario generators, investment actuaries with exposure to European energy and industrial credits, and anyone who has been handed an NGFS carbon-price path and asked what to do with it.

Familiarity with basic time-series concepts (regression, autocorrelation, confidence bands) is helpful. No prior knowledge of carbon markets, and no econometrics beyond that, is assumed. No software is required; all examples are shown on screen.

Technical Requirements
Please check with your IT department if your firewall and computer settings support web session participation (the programme Zoom will be used for this online training). Please also make sure to join the web session with a stable internet connection.

Lecturers

Peter Keutgens
Peter Keutgens, FIA, is an actuary and portfolio-risk specialist building an evidence-led platform for European carbon-market and transition-risk analysis. His working papers translate EU ETS law, market data and scenario modelling into practical tools for investment, risk and ORSA decisions.

Language & CPD Credits

The language of the web session will be English.

CPD Credits
For this web session, the following CPD credits are available under the CPD scheme of the relevant national actuarial association:

• Austria: 4 points
• Belgium:  4 points
• Bulgaria:  6 points
• Croatia: individual accreditation
• Czechia:  4 hours
• Denmark 4 credits
• Estonia:  4 hours
• Finland: 4 points
• France:  24 points
• Germany:  4 hours
• Greece: 5 points
• Hungary:  4 hours
• Iceland: 4 credits
• Ireland: 4 hours
• Italy: individual accreditation
• Latvia: 4 hours
• Lithuania: 4 hours
• Netherlands:  approx. 4 points (individual accreditation)
• Norway: 4 points
• Poland: 4 hours
• Portugal: 4 hours
• Serbia: 4 hours
• Slovakia:  individual accreditation
• Slovenia:  individual accreditation
• Spain: CAC: 4 hours, IAE: 4 hours
• Switzerland:  individual accreditation
• USA: SOA (Section B): up to 4.8 hours

No responsibility is taken for the accuracy of this information.

Fees & Registration Details

Early Bird Registration Fee (until 30 December 2026):

• For private customers in the EU: €320.00 + VAT of the billing country (example Germany: €380.80 incl. 19% VAT)
• For private customers outside the EU: €380.80 (incl. 19% VAT)
• For businesses within the EU (excl. Germany, with valid VAT ID): €320.00 (net, reverse charge applies)
• For businesses in Germany: €380.80 (incl. 19% VAT)

Regular Registration Fee (from 31 December 2026):

• For private customers in the EU: €420.00 + VAT of the billing country (example Germany: €499.80 incl. 19% VAT)
• For private customers outside the EU: €499.80 (incl. 19% VAT)
• For businesses within the EU (excl. Germany, with valid VAT ID): €420.00 (net, reverse charge applies)
• For businesses in Germany: €499.80 (incl. 19% VAT)

Important VAT Information:

• For private customers with a billing address in an EU country: VAT will be charged at the applicable rate in the country of the billing address. The final amount, including VAT, will be calculated upon invoicing.
• For customers with a non-EU (third country) billing address: Only a non-company billing address is accepted for VAT compliance reasons. 19% VAT applies to all non-EU private customers.
• For businesses within the EU (excluding Germany), Iceland, Liechtenstein, Norway, Switzerland, and the UK with a valid VAT ID: The reverse charge mechanism applies (net price; VAT will not be charged). Please ensure your valid VAT ID is entered correctly during registration.
• For all customers with a billing address in Germany: 19% VAT applies.

Please submit your registration using our online form below. Closer to the event, you will receive further login details to join the web session.

Your registration is binding. Cancellation is only possible up to 2 weeks before the first day of the event. If you cancel later, the full participation fee is due. You may appoint someone to take your place but must notify us in advance. EAA has the right to cancel the event if the minimum number of participants is not reached.

We will send you an invoice via email. Please allow a few days for handling. Please always give your invoice number when you effect payment. All bank charges are to be borne by the participant.

Registration is open until two working days before the web session. If registration has already been closed for this web session, please call us or send an email to contact@actuarial-academy.com in order to find out whether a late registration is still possible.