Climate Change Credit Risk Triptych

Summary of Climate Stress Test Findings

A short presentation summarizing the key findings of the research papers published at RiskMinds International, 7th November 2022.

Click here to read the Summary

Dr. Scott D. Aguais

Managing Director and Founder

Dr. Aguais has over 30 years’ experience developing and delivering advanced credit analytics solutions for large banking institutions. He led the successful Basel II Waivers at Barclays Capital and RBS, including leading the industry in implementing the first advanced Dual Ratings approach using both Point-in-Time (PIT) and Through-the-Cycle (TTC) risk measures.

He then established the Z-Risk Engine (‘ZRE’) solution which uses the PIT/TTC methodology to support IFRS9/CECL and Stress Testing. A recent Case Study at DBS bank in Singapore outlines their implementation and business benefits of using ZRE.

Dr Aguais holds a PhD in Economics and is an Associate Research Fellow at the University of Oxford CGFI climate institute, collaborating on further climate risk research.

Dr. Larry Forest Jr.

Global Head of Research

Dr. leads all of ZRE’s credit risk analytics research, model development and design. Dr. Forest has over 30 years’, experience, designing and developing advanced credit analytics solutions for large banking institutions, including leading the design of the first advanced PIT/TTC Dual Ratings for Barclays Capital, RBS and ZRE.

He led the econometric design and development of advanced Basel 2 PD, LGD and EAD credit models and most recently the application of ZRE to assessing climate driven credit risks.

Dr Forest holds a PhD in Economics.