Indicate whether the organisation carries out scenario analysis and/or modelling, and if it does, provide a description of the scenario analysis (by asset class, sector, strategic asset allocation, etc.).
For each E, S, and G factor, we identify historical periods and events where changes in those factors likely resulted in some market shock (e.g., tsunami, pandemic, social unrest). We assess and model the market impact of those events and map them to macroeconomic variables to obtain broad market shocks.
Transition and physical risk scenarios are used to map climate scenario pathways and shocks into macroeconomic shocks via several key variables (e.g., future economic growth). These are integrated within our risk system and propagated across all holdings to determine an overall climate-related VaR. We continue to develop capability.
Additional information. [OPTIONAL]