Financial Engineering Workshop - Dr Svetlana Borovkova (Bloomberg)

Presentation title: Climate Risk Stress Testing: What are the challenges?

Abstract
Climate risk is currently firmly in the spotlight of financial institutions and regulators. This new type of risk is multifaceted, less understood than other risks such as credit and market risk, and difficult to model, due to its complex nature and lack of the available data. In this talk, I will give an overview of issues and emerging methodologies of assessing climate risk for various portfolios – equity, corporate and private credit, and outline main challenges facing climate risk research. I will then discuss several successful climate risk case studies (Dutch mortgages, global equities and credit portfolios) and show what kind of stress testing results we can expect when considering various types of climate risk and different climate risk scenarios.

Bio: Dr Svetlana Borovkova is a quant researcher at Bloomberg where she is responsible for building climate risk quant models. Until recently, she has been an Associate Professor of Quant Finance at VU Amsterdam and a partner at Probability & Partners. Dr Borovkova is the author of over 60 scientific papers and books in diverse areas of quant finance ranging from commodity markets to financial stability and from derivatives pricing to alternative data and machine learning in finance. She is a frequent invited speaker at the major industry and academic events such as QuantMinds and Bachelier congress of mathematical finance.

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