How can we Prepare for the Challenges Ahead?...Jan 30, 2020  · Residential real estate/mortgage portfolio. 11%. Commercial real estate portfolio. 10%. Impact on critical third parties.

Climate Risk and the Financial System: How can we Prepare for the Challenges Ahead?

New York, January 30, 2020

#GARPriskcon

Accelerating Innovation and Strengthening Resilience

March 9-11, 2020 | NYCThe New Risk Playbook:

Use code promo code “RCNY20” for 20% discount

General Introduction

‣ What is climate risk?• Potential loss due to changes to the climate or changes to attitudes/policies relating to the climate

‣ Why does this matter now to a risk manager?• Responsibility of a risk manager understand the risks your firm is taking and making sure it remains

consistent with the risk appetite of the firm

‣ Climate risks are clearly growing• Physical risk• Transition risk

GARP Efforts in Climate Risk

‣ Events, convention panels, “green” chapter meetings‣ Podcasts, webinars, white papers‣ Regulatory support and partnerships‣ Annual survey on climate risk management capabilities

‣ Is there board governance?

‣ Have they seen papers?

‣ Is anyone senior accountable?

Governance Strategy Risk management

Metrics, Targets, Limits

Scenario Analysis Disclosure

‣ Have you identified climate-related risks/opportunities?

‣ Have you done any scenario analysis?

‣ Regular or ad hoc? ‣ Over what time

horizon?

‣ How have you organized your climate resources?

‣ What have you disclosed?

‣ Do you use metrics, targets and limits?‣ What for? ‣ Are they integrated in your risk management?

Lessons from Climate Risk Survey

‣ Firms are starting to take climate risk seriously

‣ Everything starts with governance

‣ Risk awareness is critical

‣ Requires different mentality

‣ Mapping climate risks to impacts on firm value will take development and innovation

‣ Interest is growing: 27 firms in 2019, 80 firms in 2020

GARP’s New Sustainability and Climate Risk Certificate Program

‣ Objective: to equip candidates with skills needed to understand and act on climate risk within their corporation or organization

‣ Development• Global Practice Analysis• SCR Advisory Committee

Piyush AgrawalChief Operating OfficerCitibank, N.A.

Steven BullockGlobal Head of ResearchTrucost

Benjamin CarrCapital Risk DirectorAviva

John ColasPartner and Vice ChairmanOliver Wyman

Neha CoulonHead of EMEA Capital StrategyJPMorgan Chase

Sandro Diez-AmigoSenior Evaluation OfficerWorld Bank Group

Novera KhanChief Risk OfficerUniper

Robert Litterman, Ph.D.Chairman, Risk CommitteeKepos Capital

Charmian LoveEntrepreneur in ResidenceSaïd Business School, Oxford

Michael MaranoDirector Energy ProductsCME Group

Julie PullenDirector of ProductJupiter Intelligence

Corinne RauxFounder and Chief ExecutiveESAF

Michael SherenSenior AdvisorBank of England

Jakob Thomä, Ph.D.Managing Director2° Investing Initiative

Michael WilkinsManaging DirectorS&P Global Ratings

Sustainability and Climate Risk (SCR) Certificate

‣ SCR Curriculum• Foundations of Climate Change: Science and Global Response (20%)• Policy, Regulations, and Implications (20%)• Green and Sustainable Finance: Instruments and Markets (15%)• Climate Risk Measurement and Management (22%)• Climate Scenario Analysis (15%)• Current Issues in Sustainability and Climate Risk (8%)

‣ Study Materials and Resources• SCR Candidate Guide• SCR Study Guide• SCR Learning Objectives

SCR Program Structure

‣ Registration Opens June 1, 2020• Program Fees (includes e-book, exam sitting): USD 650*

‣ SCR Exam Details• What? 3-hour, 80 multiple-choice questions• Where? Computer-based testing sites worldwide and remote proctoring• When? In 2020, two exam windows – Sept. 1-14 and Nov. 1-14• How? Study time recommendation approximately 100 hours

‣ Who? • Finance professionals, students and academics, policymakers

‣ Why?• Critical knowledge / rigorous assessment / empowering change / global recognition

Summary

‣ Climate risk is an exciting new frontier for risk managers

‣ Learn more about GRI climate risk survey and white papers: garp.org/garp-risk-institute

‣ Learn more about GARP Sustainability and Climate Risk Program: garp.org/scr

Climate Risk and the Financial System

10

Madelyn Antoncic, PhDManaging Partner,

Global A.I. Co. and Global Algorithmic Institute

Ken Abbott (Moderator)Managing Director, IHC CRO,

Barclays (Retired)

Ryan BohnAmericas Climate Risk Co-Lead,

EY

Eric LiuManaging Partner,

HCG Global Partners

Piyush AgrawalChief Operating Officer,

Citibank, N.A.

*Please note that the views expressed are those of the speakers and not of their firms

EY / IIF 10th Annual Global Bank Risk Management SurveyAddressing the impact of climate change on banks and societyThe survey analyzed responses from Chief Risk Officers and senior executives spanning 94 firms across 43 different countries. The responses from the survey highlight climate risk as an emerging risk impacting the ecosystem of the banking industry.

79% have incorporated climate risk into their overall risk approach

53% expect higher default in certaincorporate sectors

62% have developed an approach toclimate impact and scenario analysis

74% have a governance approach inplace that considers climate risk

Expected impact

53%

Higher default/credit risk in certain corporate sectors

46%

Financial needs of certain corporate sectors

30%Commercial opportunities in energy

23%Own environmental impact

20%Business continuity plans*

19%Residential real estate/mortgage portfolio

11%Commercial real estate portfolio

10%Impact on critical third parties

8%Catastrophic or other insurance policies

5%Repricing of securities and derivatives

2%Repricing of sovereign debt

Products, customers and assets

Bank operations

Of the 94 firms surveyed:

Your GARP New York Chapter Team…

“It's been my honor and pleasure to serve as a leader of the New York Chapter of the Global Association of Risk Professionals on putting together panels, interviewing speakers and networking with my fellow risk professionals. I would like to thank the staff of GARP for always supporting the chapter with securing venues and covering event logistics.

I hope to continue to see Shobhit and all local members at future events.” – Candice Nonas, Director Risk and Financial Consultancy, RGP, and GARP New York Chapter Director 2016-2020 Shobhit Thapar

Executive Director, Morgan Stanley, and GARP NY Chapter Director

Teresa TianDirector, Risk of Market Activities & ALM, Société Générale, and GARP NY Chapter

DirectorThank You, Candice

Meet the Chapter Committee Members

13

Rodney Sunada-WongCRO for US Broker Dealer and Swap

Dealers, Morgan Stanley

Ken AbbottManaging Director, IHC CRO,

Barclays (Retired)

May TangHead of Risk and Analysis, Federal

Reserve Bank of New York

Kerem YamanFormer MD, Head of Credit,

Prime and Regulatory Risk, BoA

Murad NayalMD, Global Head of Risk

Informatics, Goldman Sachs

Didier BlanchardHead of Enterprise Risk Management

– Americas, Societe Generale

Masao MatsudaPresident & CEO, Crossgates

Investment and Risk Management

Educating risk professionals… and strengthening your network

‣ February 19, Singapore: FRM / ERP Exam Briefing and Study Group Formation

‣ February 20, Madrid: Wealth Management, Risk and Regulation‣ February 26, Zurich: Digitizing a Trading Platform: The Evolution of

Distributed Ledger Technology (DLT) in Trade Finance‣ February 27, Budapest: Country Risk Aspects: Global & CEE Economic

Outlook‣ March 9-11, New York: GARP Risk Convention ‣ March 10, London: GARP Risk Europe Conference‣ March 12, Paris: Climate Risk and the Financial System‣ March 26, London: FRTB and IBOR: Managing Risk through Change‣ April 7, New York: The Future of Risk Management: Addressing

Uncertainty through Diversity‣ April 27, Geneva: Impact and Sustainable Investing: Managing the Risks