10 March 2026
The course has been designed specifically for financial institutions and is led the CRC’s own Dr Raffaella Calabrese, and Dr Joseph Breeden, CRC External Affiliate, CEO of Deep Future Analytics LLC, and President of the Model Risk Managers’ International Assocation.
About the Course
Participants will gain both the conceptual foundations and practical tools to assess the financial implications of climate change for credit risk. The course covers how to select and apply appropriate climate scenarios, how to integrate climate-related risks into existing credit risk frameworks, and how to evaluate the resilience of loan portfolios under severe stress conditions. It is designed to be tailored to the specific needs of individual organisations, and prospective participants are encouraged to contact the Business School to discuss collaboration opportunities.
The course is particularly well suited to credit risk modellers, senior risk managers, and financial professionals seeking to build or strengthen their organisation's capacity in this rapidly evolving area.
The research behind the course
Climate Stress Testing and Climate Scenarios draws on a substantial and growing body of research on stress-testing developed by the CRC with Raffaella and Joe making meaningful contributions (please see the details below). State-of-the art stress-testing approaches developed for macroeconomic impacts have found a novel and profound application in addressing climate change issues and their estimations.
The climate applications continue a long-standing legacy of stress‑testing methodologies advanced by CRC founder, Professor Emeritus Jonathan Crook, and other CRC members and External Affiliates:
- Djeundje & Crook (2025), Incorporating behavioural and macroeconomic correlations for the prediction of bank capital for credit risk.
- Wang, Crook, Andreeva (2025), Sensitivity of model parameter estimates in stress testing the probability of default: evidence over the financial crisis.
- Bocchio, Crook &Andreeva (2023), The impact of macroeconomic scenarios on recurrent delinquency: A stress testing framework of multi-state models for mortgages.
- Djeundje & Crook (2022), Sensitivity of stress testing metrics to estimation risk, account behaviour and volatility for credit defaults.
- Wang, Crook & Andreeva (2020), Reducing estimation risk using a Bayesian posterior distribution approach: Application to stress testing mortgage loan default.
- Bellotti & Crook (2014), Reducing estimation risk using a Bayesian posterior distribution approach: Application to stress testing mortgage loan default.
- Bellotti & Crook (2013), Forecasting and stress testing credit card default using dynamic models.
By grounding learning in proven stress‑testing methodologies, the course enables participants to understand not only how climate scenarios are constructed, but also how they can be embedded in empirical models relevant for financial decision‑making through example from Raffaella’s and Joe’s work.
Dr Raffaella Calabrese's research focuses on the quantitative modelling of climate risk in lending and mortgage markets. Two recent studies are of particular relevance to the course. Her work on the impacts of extreme weather events on mortgage risks in Florida — examining how hurricane and flood exposure affects default behaviour and how those relationships evolve under projected climate change scenarios — provides a compelling empirical foundation for understanding physical climate risk at the asset level. A complementary study on climate stress testing for mortgage default probability develops methodological tools for translating macro-level climate scenarios into granular credit risk estimates, offering practitioners a direct pathway from scenario design to portfolio-level impact assessment. Raffaella also designs and delivers executive courses for the European Central Bank on Climate Stress Testing and the EU Supervisory Digital Finance Academy.
Dr Joseph Breeden's contributions bring a complementary focus on the practical dynamics of climate stress in lending. His 2023, Impacts of Drought on Loan Repayment, examines how prolonged drought conditions affect borrower repayment behaviour, drawing on empirical data to quantify a risk that is increasingly material for agricultural and regional lenders, but whose methods and findings carry wider lessons for physical risk modelling.
A second paper, co-authored with Y. Leonova and A. Bellotti, examines instabilities in the use of Cox Proportional Hazards models for loan portfolio forecasting and stress testing — a technically important contribution that speaks directly to the reliability of the modelling approaches practitioners use when assessing portfolio resilience under adverse scenarios.
A collaboration rooted in complementary expertise
The partnership between the CRC and B-CCaS represents a natural alignment of strengths. The CRC brings deep expertise in credit risk analytics, scorecard development, and financial modelling, while B-CCaS contributes specialist knowledge in climate science, sustainability strategy, and the policy dimensions of climate-related financial risk. The joint development of this course reflects the University of Edinburgh Business School's ambition to translate interdisciplinary research into professional practice.
The CRC looks forward to supporting financial institutions in building the analytical capabilities they need to navigate the risks and responsibilities that climate change presents to the credit sector.
Course presenters
Raffaella Calabrese, Professor at the University of Edinburgh Business School
Dr Calabrese works closely with financial institutions and regulators to propose analytical solutions to better measure the effects of climate change on credit risk and how to perform climate stress testing exercises. Raffaella collaborates with financial institutions, government bodies and regulators in the UK, USA, China and multiple EU countries. She provides training on Climate Stress Testing at the European Central Bank and on digital finance at the European Commission.
Joe Breeden, Chief Executive Officer at Deep Future Analytics LLC
Dr Breeden has been designing and developing risk management systems for loan portfolios since 1996. He founded Deep Future Analytics in 2011, which focuses on portfolio and loan-level forecasting solutions for pricing, account management, stress testing, CECL/IFRS9, and AI monitoring; serving banks, credit unions, and finance companies. He also serves as President of Model Risk Managers’ International Association and on the board of Upgrade. Dr Breeden earned a PhD in Physics and published over 90 academic articles, 8 patents, and 6 books.