Climate Stress Scenarios and Stress Tests
Robert Engle
Nobel Prize winning economist
In the final video collaboration with MMF, Nobel Laureate and economist Robert Engle discusses using climate portfolios to stress test banks and prepare for future damage.
In the final video collaboration with MMF, Nobel Laureate and economist Robert Engle discusses using climate portfolios to stress test banks and prepare for future damage.
Climate Stress Scenarios and Stress Tests
11 mins 26 secs
Robert Engle rounds off by discussing how we can use climate factors portfolios as a way to stress test central banks by calculating the beta dynamically and then calculating capital shortfall. Robert then shows that by examining the gas and oil loans of banks against the climate beta, there is a positive correlation, suggesting that the betas are actually picking up something in their portfolio.
Key learning objectives:
Understand how to use climate portfolios to stress test banks
Learn how much climate damage you can prepare for
Robert Engle
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