Emerging Risk
Climate & Catastrophe Risk
Climate risk quantification for balance sheets that carry it: physical and transition scenarios, catastrophe frequency-severity models with heavy-tail (GPD) calibration, and integration into ORSA, ICAAP, and IFRS 9 forward-looking overlays.
Outcomes you can expect
- A climate view your risk committee understands and can act on
- Catastrophe frequency-severity models with defensible tails
- Regulatory climate disclosures that don't require re-work each cycle
Typical engagements
- NGFS / bespoke climate scenario translation into financials
- Physical and transition risk quantification by portfolio
- Catastrophe frequency-severity modelling and GPD tail calibration
- ORSA / ICAAP climate integration and disclosure support
Related reading
GPD Tail Risk in Catastrophe Models
The tail is where catastrophe models earn their money and lose their credibility. Threshold choice, sample size, and parameter uncertainty matter more than the marginal-year fit almost anyone reports.
Read the articleOther services
Financial Risk
Financial Risk & ALM
IRRBB, liquidity, and asset-liability management for banks and treasuries.
Financial Risk
Credit Risk & IFRS 9
PD, LGD, EAD and IFRS 9 ECL models — designed, calibrated, and validated.
Financial Risk
Model Validation & Model Risk
Independent validation of pricing, credit, capital, and AI models.
Insurance & Actuarial
Insurance / Actuarial & Solvency II
Solvency II pillar work, ORSA, technical provisions, and reserving for insurers.
Emerging Risk
Geopolitical & War Risk
Sovereign, war, sanctions, and supply-chain risk translated into balance-sheet numbers.
Data & AI
AI & Quantitative Risk Models
Machine learning and AI models for risk — designed to be explainable and governable.