This initial session will cover the broad uses of statistics in the Finance sector. The talks will focus on different aspects of statistics within Finance – from expected loss modelling to climate risk models. There will be time to network following the talks.

Summaries of both talks:
 
Joanne Gorringe, Senior Modelling and Measurement manager, Leeds Building Society
The significant data warehousing and computational improvements in the past 30 years have resulted in an increased use of statistics and modelling in the banking industry. Meanwhile, since the crisis of 2008, regulators have increased scrutiny over Risk Management. International Financial Reporting Standards 9 (IFRS9) were introduced in 2018 to account within balance sheets for not only incurred losses, which may occur when a house is repossessed, but also expected losses, which may not have occurred yet but may in future as customer circumstances and the economy change.

In this session, we will introduce the methodologies and drivers of the suite of models used to predict losses over the expected lifetime of mortgages at Leeds Building Society.
 
Thomas Clarke, Head of Climate Change Credit Risk, 4most
In 2019, the Prudential Regulation Authority challenged the financial industry to develop the capability to assess their exposure to climate risks. In 2021 the Bank of England launched the Climate Biennial Exploratory Scenario (CBES), an exploratory exercise in incorporating climate risks into financial stress testing. Where before banks had only looked at risk over a narrow 3-to-5-year horizon, the CBES exercise required modelling risk over several decades, and without the same historical approach to data and validation that cyclical economic risks allow. In this talk we will look at the specific modelling challenges of the CBES exercise, the approach developed by 4most for assessing climate change-related credit risk on mortgage portfolios, the recently released results of the exercise, and finally, the possible implications of the CBES exercise on the UK finance industry. 

This hybrid event will be hosted in person at the University of Leeds' William Bragg Building, Room 2.37 (directions in weblink).