elseware blog

Mar. 7th, 2022Climate Risk

Mar. 7th, 2022

An overview of recent climate stress exercises in Europe

This article summarizes the recent climate stress exercises carried out by European regulators (DNB, French Central Bank, Bank of England CBES, ECB).

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Sept. 9th, 2021Climate Risk

Sept. 9th, 2021

Climate Stress on Operational Risk

As part of its regular exercise on operational risk scenario benchmarking, the American Bankers Association (ABA) conducted a climate stress study of select operational risk scenarios between 2020 and 2021. In this article, we describe the approach we have implemented to assess the impact of climate change on a portfolio of operational risks. The approach and results are particularly relevant to the Basel Committee recommendations.

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Jun. 3rd, 2021Climate Risk

Jun. 3rd, 2021

Corporate Credit Climate Stress

In this article, we present a method for assessing the impact of climate change on a bank's corporate credit portfolio. A bayesian network has been built to capture the sensitivity of a company to transition and physical risks depending on its sector, its geographic location and its balance sheet structure.

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Sept. 24th, 2019Operational Risk

Sept. 24th, 2019

The language of risk

This article is a summary of the preliminary results of a research project on the use of neural networks for learning the language of risk. This project was carried out last summer with 3 brilliant students from Mahindra Ecole Centrale in India. A more academic version of this paper is in preparation, but we are so excited about the results that we obtained very quickly that we are eager to share them.

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Feb. 15th, 2019Operational Risk

Feb. 15th, 2019

Cyber Risk: Assets, Access and Attackers

This article is a proposal for the structured identification and assessment of cyber risks. It is one of the proposals submitted the Federal Reserve of Richmond in March and November 2019, in preparation of the Cyber Risk Definition and Classification for Financial Risk Management.

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