We all agree on the importance of code documenting. Our python implementation of Climate360 and the CERM model now comes with a Sphinx documentation so that we can easily onboard teams when testing on real-life portfolio. It provides a customizable and extendable way to generate a nice html-based document, based Read more…
Article by Climate X referencing our climate finance research paper on extending the asymptotic single risk factor (ASRF) model to physical and transition risk. It can indeed be used to support discussions around Regulatory Capital – Pillar 1, and also around Economic Capital, ICAAP, Pillar 2… Doing the Math — Read more…
Iggaak acted as project manager on a large Front-to-Back Treasury Consolidation project, driving the pre-study to migrate the business from existing systems of key foreign entities into Summit. We led the initial “deep dive” analysis across front office/risk, back office/accounting, IT/development in order to comprehensively assess and plan the main Read more…
As part of the development of the Investment Bank of a large public bancassurer, XVA materiality has been continuously increasing, leading the Bank to seek best practices in management, hedging and measurement of residual risks. In addition, Iggaak advised the bank on CVA/DVABasel IV regulatory developments.
Anne Gruz co-presented the CERM model at the event organized by the Paris based Institut Louis Bachelier “Finance and Sustainable Growth” Laboratory, teaming up with Josselin Garnier and Jean-Baptiste Gaudemet. The CERM is a tentative approach to model the impacts from transition and physical risks on credit risk. In addition Green Read more…
Iggaak assisted the asset management departement of a major State-owned banking group in exploring new systematic management strategies whose superiority is demonstrated via back testing over a simple passive holding of securities in proportion to their capitalization in liquid indexes. Iggaak managed the project to deliver functional Jupyter Notebooks with Read more…
Iggaak took part to ActiveViam’s event “the Future of Analytics” in June 2021, explaining the objectives of a climate change credit risk model and how to onboard results with the Atoti+ analytics platform.
Iggaak presented modeling objectives, design choices and challenges at this PRMIA – Professional Risk Managers’ International Association – event on the quantification of climate risk, with some excellent insights and pointers shared by co-panelists. Thank you to PREMIA Ireland for organising and moderating this great discussion.
The Climate Extended Risk Model adapts well known credit risk models. It proposes a method to calculate incremental credit losses on a loan portfolio that are rooted into physical and transition risks. The document available on arxiv https://arxiv.org/abs/2103.03275 provides detailed description of the model hypothesis and steps. This work was Read more…
London, UK, September 21, 2020 – We are delighted to announce that Anne Gruz has joined Green RWA association as Head of Climate Financial Risk and member of the Executive Committee. Anne will be leading the financial streams, including the foundational climate risk model, that Green RWA is pursuing to help Read more…