Context and aims
The purpose of this work is to propose a risk management framework capturing both financial and capital markets, economics and climate related risks answering both regulatory and top management challenges driven by regulatory requirements (EBA/PRA/CCAR Stress Test, SREP ICAAP and ILAAP). This includes formulation of financial flows and propagation across economies and related networks including their link to climate related risks, modeling of the various sources of randomness and the design of dedicated numerical approaches. These will serve to assess not only risk measurements (credit provisions, collateral valuation, initial margining setup, liquidity shortfall assessment, XVAs & reserves, regulatory capital and economic capital, stress test scenario analysis), but also the impact of various risks (geopolitical, cyber, biodiversity and nature, technological) on those measurements. Though the conducted work should ensure compliance with regulatory instructions, it should also permit fundamental revisiting of certain key concepts, including those deployed by regulation standards and exploration of novel approaches.
Project domain: sustainable finance, applied mathematics