Climate Risk Modelling using SAS: with Climate adjusted PD, LGD, EAD and Survival Analysis (CREDIT RISK MODELLING USING SAS) by Sameer shaikh
English | November 20, 2025 | ISBN: N/A | ASIN: B0G34SXQJX | 325 pages | PDF | 11 Mb
The first book in the world to show climate-adjusted credit risk modelling exactly the way global banks are starting to do it.
Climate change is not just an environmental issue - it is now one of the biggest credit risk drivers for banks, insurers, regulators, and rating agencies worldwide.
But until today, no book has ever shown how to actually build climate-adjusted PD, LGD, EAD, and Survival models using realistic bank-style data.
This book changes that.WHY THIS BOOK IS UNIQUE
First book in the world to unify climate risk and credit risk modellingCovers PD, LGD, EAD, and Survival models adjusted for heatwaves, floods, storms, carbon prices, sea-level rise, drought, energy inflation & transition shocksUses multiple synthetic yet realistic datasets that mirror real-world bank portfoliosShows how physical risk, transition risk, ESG scores, and macro climate scenarios change probability of defaultIncludes global case studies, regulatory references, and implementation stepsWritten exactly the way climate-risk specialists, model developers, and supervisors need in 2025 and beyondWHAT'S INSIDE THIS BOOK
You will learn how banks today are developing climate-risk models by integrating
hysical climate variables (flood depth, sea-level rise, heat index, windstorm intensity)Transition risk variables (carbon tax, emissions intensity, policy scores, energy price shocks)Macro-climate series (temperature anomaly, GDP transition drag, energy inflation)Borrower financials (income, LTV, EAD, LGD)ESG scores & sustainability metricsSurvival models showing how default risk grows over 3-5 years under climate stressAll implemented using multiple structured synthetic datasets that reflect true banking behaviour, created specifically for modelling and validation.A COMPLETE BLUEPRINT FOR THE NEXT GENERATION OF RISK MODELLERSInside you get:
Fully worked PD, LGD, EAD & Survival climate-adjusted models
Multi-year climate scenarios for stress testing
Climate-adjusted RAROC & pricing concepts
Rating migration under climate transition
Hazard-loss modelling
ESG-integrated PD
Portfolio concentration & region-level exposure analytics
6 high-value global case studies
Guidance aligned with NGFS, ECB, PRA, EBA & MAS
This is the first book that gives climate-risk specialists, credit risk modellers, ESG analysts, regulators, and banks a complete, practical, end-to-end climate modelling framework.A Book for Professionals Who Want to Lead the Climate Risk Era
If you work in:Credit RiskClimate RiskESG AnalyticsStress TestingIFRS-9 / Basel ModellingPortfolio AnalyticsSupervisory ReviewData Science for Banking...this book gives you the tools and mindset to build climate-ready models that the future of banking will depend on.
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