Climate Risk scenarios are commonly used in the insurance industry for stress testing, but interpreting and communicating results is often challenging, given strong limitations and complex assumptions. Why are physical stresses often so low, and what can be done about this? What is the impact of the recent surge in fossil fuels on transition risk? What is the role of inflation and interest rates within the scenarios?

Furthermore, the scenarios have also substantially evolved over the last years. This has not only substantial implications on results and key messages from stress testing, but also on how scenarios can be applied for stress testing purposes.

This session will have a practical focus around a case study in order to illustrate not only the practical elements of stress testing, but also discuss challenges and limitations and provide context around the foundations surrounding the scenarios. We will introduce commonly used scenarios, provide practical guidance on implementation of stress tests, and discuss key evolutions, challenges, and limitations in the interpretation of stress test results. We will conclude with an outlook on how key challenges are expected to be addressed going forward.

The web session is open to all interested persons working within the insurance industry, with a particular focus on professionals dealing with climate change scenarios e.g. in the ORSA. Preliminary knowledge in climate scenarios is helpful, but not a prerequisite.

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.

This session will have a practical focus around a case study in order to illustrate not only the practical elements of stress testing, but also discuss challenges and limitations and provide context around the foundations surrounding the scenarios.

We will cover the following topics:

1. Introduction to Climate Change Scenarios, context and evolution
2. Application in Stress Testing for Market Risk
3. Interpretation of results, common limitations, and evolution of scenarios
4. Impacts and sensitivities of key assumptions
5. Outlook – what’s to come next on climate scenarios?

The language of the web session will be English.

Daniel Teetz
Daniel is a Senior Manager at Oliver Wyman Actuarial Services in Germany, specializing in climate risk management for insurers. He is advising insurers globally on various aspects of quantitative and qualitative climate change risk assessment, climate scenario analysis and risk management integration. He has extensive hands-on experience in practical implementation of climate risk stress testing. Daniel holds degrees in Physics and in Mathematics from RWTH Aachen and LMU Munich. He is a CFA (Chartered Financial Analyst) charter holder, and also holds the Sustainability and Climate Risk Certificate (SCR) from the Global Association of Risk Professionals (GARP).