We submitted the latest version of the CERM white paper to the Bank of England for its conference on climate-related financial risks in the autumn.
We think our modelisation approach tackles a number of topics BoE is looking to cover, including long-term horizon and associated uncertainty, proposing a methodology to accurately measure and calibrate capital requirements; and embedded balancing of the capital regime between macro and micro risks.
It is another key moment for Green RWA cause as we have presented this work to a number of international institutions but we know and see BoE and PRA are leaders in the management of climate-related financial risk and value very much their analysis.
We thank the selection committee for their consideration and hope to be there in October to present our approach.
And of course, thank you again Josselin GarnierAnne GruzJean-Baptiste Gaudemet for this great piece of work: https://arxiv.org/abs/2103.03275