Conning Climate Risk Analyzer™ brings climate stress testing to life, providing insurers with new tools to explore the impact of climate change for strategic planning and regulatory reporting. Conning Climate Risk Analyzer™ combines stochastic projections from the GEMS® Economic Scenario Generator with the latest thinking on climate change effects within financial markets.

Functionality includes:
  • Scenarios of varying severity, including an orderly transition scenario, a disorderly transition scenario, a failed climate policy, and others
  • Attribution between transition and physical risk and other risk sources
  • Exploration of the different possible timings of market impacts that a scenario may cause
  • A rich set of portfolio risk analytics, including VaR and Excess Climate Risk
For illustrative purposes only.
Learn more about Conning's free climate risk scenario data set
Conning is pleased to announce the release of a free climate stress scenario data set for use in market risk analysis. The files consist of 1,000 stochastic simulations for 48 asset class returns in three currencies (USD, GBP, EUR). The files are in a standardized .XLSX format that can be easily integrated into most existing systems and processes.

The data set incorporates climate stresses generated with the model detailed in the recent white paper, Quantifying the Financial Impacts of Climate Change, in which output from the GEMS® Economic Scenario Generator has been transformed based on stresses generated for 5 future climate scenarios. Based on the widely used Shared Socioeconomic Pathways (SSP), each climate scenario consists of two stochastic simulation sets—one based on stresses for the mean expected outcome under each SSP and one for a severe-case outcome assuming the occurrence of tipping point events, which are particularly relevant for assessing climate risks at shorter horizons.

These scenarios allow users to perform risk analysis on an asset allocation under different climate scenarios, which can be used to satisfy some aspects of regulatory reporting requirements such as ORSA.
Fill out the form at right to request a login to the Conning Software Documentation Library, where the Climate Risk Scenario Data Set can be downloaded for free.

Beyond Stress Testing