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.