Analyzing and Modeling Climate Risks and Financial Derivatives with MATLAB®
Overview
Modeling the Impact of Transition and Physical Climate Risks on a Portfolio of Mortgages
Learn how MATLAB can get you started modeling both physical and transition climate risks. You will learn how to:
- Visualize flooding risk within a city (physical risk)
- Understand the impact of policies aimed at increasing the energy efficiency of buildings (transition risk)
- Model the impact of these risks on a portfolio of mortgages
Working with Climate IAM Data in MATLAB
Learn how to work with integrated assessment models (IAMs) in MATLAB. Get an introduction to the concept of IAM models and how to rerun them. See a set of open-source tools that allows you to explore the results of public model runs, such as NGFS, and import the data into MATLAB. Finally, learn how to incorporate this data into the stress testing of a portfolio of loans in the energy sector.
Pricing Weather Derivatives with MATLAB
Pricing a weather option involves getting a good model for the climate event. Learn how to price a weather option using the following steps:
- Get data into MATLAB using a REST API
- Clean and analyze the temperature timeseries
- Model the temperature using a linear model for the deterministic part and an arma/garch process for the volatility
- Forecast the temperature and price of a weather option
Who Should Attend
This webinar is aimed at professors, students, and researchers who would like to learn and deepen their use of MATLAB in the financial field.
About the Presenter
Lawrence Johny. Applications Engineer at MathWorks.
Paula Poza. Applications Engineer at MathWorks.
Product Focus
This event is part of a series of related topics. View the full list of events in this series.
