Since the Paris agreement of 2015, climate change has received increased focus from the public as well as legislative and regulatory bodies. Corresponding actions and initiatives of European institutions towards a greening of the financial industry have also led the supervisory authorities to put increased attention on climate-change related risks for the financial sector.

In the context of Solvency II this awareness implies the need for quantitative assessments of climate change related risks at least within pillar 2 (ORSA). For Internal Model Users even an integration into pillar 1 seems indispensable for the near future. Both facets raise the question of how exactly climate risk can be estimated within risk capital calculations.

In this web session a practical approach to measure climate change related risk within asset portfolios is presented. It is both, applicable for ORSA assessments, and suited for integration into the internal model market risk modules. The concept is developed reflecting recent regulatory opinions on environmental impacts and based on cutting-edge research standards which are pragmatically integrated into risk measurements under Solvency II.

After discussing general principles and paradigms regarding the valuation of climate financial risks, a scenario-based quantification scheme for the asset portfolio impact of climate risk is developed. Additionally, a realistic case study is presented, illustrating the approach and estimating the effects and impacts on the market risk capital calculations.

Organised by the EAA – European Actuarial Academy GmbH.

The web session is open to all interested persons. Working knowledge in the areas of risk measurement or management would be an advantage.

Technical Requirements
Please check with your IT department if your firewall and computer settings support web session participation (the programme GotoTraining/GotoWebinar is used for the web session). Please also make sure that you are joining the web session with a stable internet connection.

The objective of this web session is a presentation of a practical concept for the quantitative assessment of climate change risks within asset portfolios. In particular, a tangible approach towards the integration into Internal Models under Solvency II will be presented. While considering recently published supervisory opinions, latest research methods for the valuation of climate risks are leveraged within a pragmatic framework.

The language of the web session will be English.

Mario Zacharias
Mario is Manager at Oliver Wyman Actuarial Services with over 6 years of consulting experience in the German Life insurance industry. He specialized in market risk models in the context of Solvency II, as well as proxy modelling and capital management. He holds a PhD in Theoretical Physics and is member of the German Actuarial Association (DAV) for which he also serves as a lecturer for the actuarial education program.

Daniel Teetz
Daniel is a Senior Consultant at Oliver Wyman Actuarial Services. In his three years of consulting experience at various German insurers, he mainly worked on topics around Solvency II and Asset-Liability-Management with an increased focus on market and credit risk. He also has experience in equity research. Daniel holds degrees in in Mathematics and Physics from LMU Munich and RWTH Aachen and is furthermore a Level III-Candidate in the CFA program.