Inside Views: Sustainable Finance, Catastrophic Risk and Modeling Challenges
This Webcast is available on demand

Hosted by GARP New York Chapter

Sustainable finance touches many different groups such as individual investors, investment funds, institutions and companies of all sizes. In recent years one of the biggest stories in sustainable finance has been the growth of the market for fixed income securities including green bonds, social bonds, sustainable bonds and pandemic bonds. This exponential growth led to a revolution in thinking about climate investments, pitting “science-based thinking” against politically-constrained national climate policies.

All investors should be concerned with catastrophic risks. They can determine company risks in the development of new products and services by posing critical questions. How countries implement national Disaster Risk Management (DRM) policies and how firms leverage various types of instruments to effectively manage disaster risk will ultimately impact investors’ climate investment returns. Given the lack of granular climate risk data, accurately modeling transition and physical risks in RMBS / CMBS products remains a challenge to risk practitioners.

On the investing side, the analytical challenge is not just about pricing in catastrophic scenarios. It’s important to adjust all scenarios — including the base case — to account for climate-related factors.

During this event you will learn:

  • Areas of growth for sustainable finance and its key features
  • How it has led to a revolution in thinking about climate investments pitting “science-based thinking” against politically-constrained national climate policies — for example in the new EU Taxonomy of Sustainable Finance — and the likely next development
  • A historical perspective of catastrophic risk – the growth of the number and economic costs of catastrophic risks over the past few decades
  • National DRM policies and how countries implement DRM
  • Financial structures to help countries mitigate disaster risk
  • The role of the market (i.e. reinsurers) and capital markets, and types of instruments
  • Challenges of quantifying transition and physical risks into RMBS / CMBS pricing models

Agenda

5:30-5:35pm: Welcome and Introductions

5.35-6.00pm: Sustainable Investing and Green Climate Bonds – Sean Kidney

6.00-6.20pm: Climate-Related DRM at the National Level – Dr. Madelyn Antoncic

6.20-6.30pm: Modeling Challenges and Proposals – Eknath Belbase

6.30-6.45pm: Q&A

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Speakers

Sean Kidney - CEO, Climate Bonds Initiative

Sean Kidney is CEO of the Climate Bonds Initiative, an international NGO working to mobilize global capital for climate action. Projects include a green bond definitions and certification scheme with $34 trillion of assets represented on its Board and some 200 organizations involved in its development and governance; working with the Chinese central bank on how to grow green bonds in China; and market development programs in Brazil, Mexico, Colombia, Nigeria and East Africa.

Sean is a member of the European Commission's Platform on Sustainable Finance, and was a member of its predecessors, the 2017 EU High Level Expert Group on Sustainable Finance and the EU Technical Expert Group on Sustainable Finance. He is also a member of green finance advisory groups in China, India, Mexico and Kazakhstan.

Sean has previously been a consultant on green bonds to the United Nations Secretary General, a member of the People’s Bank of China Green Finance Task Force and a member of the Commonwealth Secretariat’s Expert Committee on Climate Finance. He is also a Professor in Practice at SOAS University of London. For the past three years he has been voted Global Capital magazine’s “Most Influential Champion” of the sustainable finance market.

Dr. Madelyn Antoncic - CEO, Global Algorithmic Institute

Dr. Madelyn Antoncic is CEO of Global Algorithmic Institute (Global-AI.org), an “A.I. For Good” non-profit Think Tank within Global A.I. Corp (GAI), a Big Data A.I. start-up. Dr. Antoncic is Managing Partner at GAI, providing quantitative research and data on Environmental, Social and Governance (ESG) and the UN Sustainable Development Goals (SDGs) issues. Under her leadership Global-AI.org was awarded a 10-year mandate to support the UN, pro bono, in measuring progress towards achieving the UN SDGs. She is also Consultant and Senior Advisor to the United Nations Conference on Trade and Development (UNCTAD) on Corporate Reporting for the SDGs.

Prior to joining Global-AI.org, Dr. Antoncic was CEO of the Sustainability Accounting Standards Board (SASB) Foundation, a not-for-profit sustainability standards setter. She is a former Vice-President and Treasurer of the World Bank where, in addition to her financial responsibilities, she oversaw several emerging and developing economy technical assistance and capacity-building programs working with the World Bank’s 189 member countries. She is known for her leadership in financial innovation and implementation of national climate-related catastrophic risk mitigation structures to help countries mitigate and transfer climate-related catastrophic risk to the markets, providing financial protection and resilience to countries. She is also known for implementing a new World Bank Capital-at-Risk Note program and facility for hedging catastrophic and other non-market risks, including pandemic risks such as Ebola. Dr. Antoncic has also worked with the World Bank’s sustainable development-related Green bond issuance program.

Eknath Belbase - Director, MBS Strategy, Andrew Davidson & Co., Inc.

Eknath Belbase re-joined Andrew Davidson & Co., Inc. in December 2009 after spending six years at Freddie Mac. At AD & Co. he focuses on consulting projects involving risk management, hedging, interest rate and credit analytics and risk-based capital as well as portfolio strategy, and covers the TRR sector within Business Development. He also started the internal model validation practice at AD & Co. in 2012.

At Freddie Mac, Eknath worked in SS&TG, the broker-dealer within Freddie, as a mortgage strategist and head of the modeling team. He developed prepayment models, extensive time series of securities and derivative prices and a variety of rich/cheap analyses. Eknath also authored approximately 50 mortgage strategy and prepayment articles sent to over 200 clients. He also worked in research for the retained portfolio and then led a team of portfolio managers and analysts as head of non-prime portfolio management, which conducted Freddie Mac’s operations within the areas of non-prime whole loans, subordinate bonds, CDS and MI. Prior to Freddie Mac, Eknath worked at E*Trade Bank developing optimal interest-rate hedging strategies and executing swap and swaptions transactions within the Bank’s ALM function. At Fannie Mae he had a portfolio strategy function working for the mortgage, debt and derivative desks. There he gained expertise in the hedging of mortgages using callable debt and interest rate derivatives. Eknath began his career in Finance at AD & Co from 1998-2002. During that period, he developed the first version of the B-K interest rate process, an initial implementation of the implied-prepayment model, and developed prepayment models for agency fixed-rate and hybrid products that introduced national house price appreciation as a driving variable for the first time. Eknath supported a number of consulting projects during that period. He also taught Masters in Finance classes in MBS/ABS at Brooklyn Polytechnic.

Eknath holds a PhD in Mathematics (Probability Theory) and an MS in Statistics from Cornell University (1998) and a BA in Mathematics and Computer Science from Ohio Wesleyan University (1992).

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