Events

Webinar: A strategy for modelling Environmental Risks that matter Integrating environmental risks into modelling frameworks is a key issue facing banks today. The multitude of risks, and their forward-looking nature make inclusion a difficult problem, where traditional approaches fall short. In this talk, we present the novel solution applied at ABN AMRO. The most material risks are first identified based on estimated costs to clients and academic literature, and are then modelled via existing risk driver modifications. Speakers: Mats Draijer coordinates the bank-wide modelling efforts on Environmental Risk at ABN AMRO. Besides this, he works on various IFRS9 & Stress Testing models and has previous experience in Liquidity & Interest Rate Risk Modelling. Mats' background is in Applied Mathematics and Financial Engineering, and he has completed the CFA Program. Marc Brouwers is a Risk Modeller in ABN AMRO’s Economic Capital team, where he develops statistical algorithms and has played a key role in pioneering a bank-wide approach to integrating environmental risks. Marc holds degrees in Physics and Economics, and earned his PhD from the University of Cambridge Register here