Sarah and Frederic from EY will provide a walk-through of the 2022 ECB Climate Stress test and present the challenges of this exercises. In addition, they will discuss how climate stress testing should be also developed internally for banking institution as part of their ICAAP in order to develop robust climate risk metrics for different lending portfolios.

After two years in asset management at Candriam, Frederic joined EY in the quantitative advisory team in financial services risk management. He performed several missions in credit risk model development, validation or internal audit.
Currently focusing on modelling climate risk and sustainable risk.