EAA Web Session “Quantifying Climate Change Risks within Solvency II – A Practical Approach”

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.

Registration Deadline: 19 Nov 2020