Credit risk models don’t work with climate change, says EBA supervisor

Risk management model from Adobe 230x150
By Bill Thornhill
10 Sep 2019

As climate change takes hold, banks could incur losses in a very different way from what is typically captured by using credit risk modelling, delegates heard at the European Covered Bond Council’s 30th plenary meeting, held in Munich on Wednesday.

In a keynote address entitled ‘New Regulatory Landscape’, the European Banking Authority’s Slavka Eley, who is head of banking markets, said that climate change risks were not being properly captured by current risk based models, which tend to extend out to the next 12 months and potentially up ...

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