Module 1 — Introduction to Climate Change & Financial Risk

(No exercises)

Module 2 — Emerging Regulatory Expectations

(No exercises)

Module 3 — ESG and Climate Change Risk

(No exercises)

Module 4 — Climate Risk Management

(No exercises)

Module 5 — Credit Risk Transition Risk

(No exercises)

Module 6 — Physical Risks & Opportunities

(No exercises)

Module 7 — Decarbonization & Sectoral Disruption

(No exercises)

Module 8 — Climate Transition Scenarios

(No exercises)

Module 9 — Climate Impact on Credit Rating

1. Exercise: Univariate Analysis with Financial Ratios in Excel

2. Exercise: Principal Component Analysis in SAS

3. Exercise: Multivariate Model in SAS

4. Exercise: Consistency Test in Excel

5. Exercise: Qualitative & Quantitative Rating Factors

6. Exercise: PD Estimation and Mapping to Master Scale

7. Exercise: Credit Rating and Climate Risk

Module 10 — PD & LGD Estimation

(No exercises)

Module 11 — Structural Models of PD (Climate Change in PD)

1. Exercise: Estimation of CDS Spread and PD

2. Exercise: EDF & Distance-to-Default Adjusted for Climate Change

Module 12 — LGD in LDP Portfolios (Climate Change in LGD)

1. Exercise: Calibration & Optimization of Implied LGD (Solver & VBA)

2. Exercise: Structural Merton LGD Model

Module 15 — Climate Time Series & Projections

1. Exercise: Non-Stationary Series & Cointegration

2. Exercise: ARCH Climate Change Modeling

3. Exercise: Facebook Prophet Modeling of Climate Change

4. Exercise: LSTM Deep Learning Climate Modeling

5. Exercise: Backtesting Machine Learning Time Series

Module 16 — Macroeconomic Scenarios (Climate → Macro)

1. Exercise: Bayesian VaR & DSGE Macroeconomic Scenarios

2. Exercise: Converting Climate Scenarios to Macroeconomic Scenarios

Module 17 — Stress Testing Net Charge-Off

1. Exercise: VAR Stress Testing Model

2. Exercise: VEC Stress Testing Model

3. Exercise: MARS Stress Testing Model

4. Exercise: Validation & Backtesting (VAR, VEC, MARS)

Module 18 — Stress Testing in Credit Risk (Climate Stress Testing)

1. Exercise: PD Stress Testing – Credit Portfolio View + Climate Risk Integration

2. Exercise: Multiyear PD & LGD Estimation

3. Exercise: LGD Stress Testing Adjusted for Climate Risk

4. Exercise: LGD Projection & Simulation

5. Exercise: Stress Testing Transition Matrices

Module 19 — Stress Testing Corporate Credit Risk

1. Exercise: Stress Testing Corporate Provisions (Transition Matrix + ASRF)

Module 20 — Climate-Related Stress Tests & Scenario Analysis

1. Exercise: Building Climate-Related Stress Tests and Scenarios

2. Exercise: Impact on PD & LGD Under Climate Scenarios