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GARP SCR Exam - Chapter 6: Climate Risk Measurement and Management

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Due to high demand, we are working to make each chapter accessible to the relevant participants. In this particular chapter, we will be featuring an expert for the session. Chapter 6: Climate Risk Measurement and Management | Exam weightage: 12-18 questions This chapter describes how climate risk is measured and managed, covering both types of climate risk: physical and transition (as described in Chapter 3). After an introduction, this chapter covers in detail how climate risk relates to more traditional risk categories at the company level, including operational risk, credit risk, liquidity risk, and underwriting risk. It then covers how climate risk can be a systemic risk with potential threat to financial stability, transmitting either through one of the previously mentioned channels, or through market dislocations (market risk) or effects on countries (sovereign risk). The specific Learning Objectives for this chapter are as follows: • Explain how climate risk manifests as financial risk through micro and macroeconomic transmission channels. • Describe how climate risk affects company-level risks including operational, credit, liquidity, and underwriting risks, and whether these risk types pose macro-level risks. • Understand the associated risk metrics for and components of each risk type. • Examine the effects of climate risk on micro (company level) risks such as operational, credit, liquidity, and insurance. • Understand transmission channels of climate risk, and how related systemic risks potentially threaten financial stability. • Describe CVaR and its uses. • Describe the data types, analytical tools, and their sources to measure transition and physical risks at the company level. • Understand how to measure transition and physical risks at the portfolio level. • Examine how climate risk drivers can be incorporated into existing ERM frameworks. • Discuss how ERM frameworks are used in practice using case studies and examples.

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