Jonathan Crook's plenary, Mathematics in Finance conference, South Africa

Can weather events and climate conditions help predict the chance a borrower defaults on their mortgage? A recent paper by Viani Djeundje Biatat, Jonathan Crook and Galina Andreeva finds that they can.

In July 2026, Jonathan delivered a plenary presentation at the Mathematics in Finance conference, jointly organised by the University of Cape Town, North West University and the University of Pretoria, and attended by more than 100 delegates from all corners of the world.

The presentation showed that model accuracy improves when a range of weather variables and flexible statistical relationships are included, and that omitting weather predictors in regions such as California can lead banks to underestimate the capital they need to hold against severe events.

Jonathan also presented a second paper from the same research team, on a methodology for predicting a mortgage's expected future cash flow at any point in its life, incorporating anticipated changes in the macroeconomy. The method adjusts expected cash flow as an account holder moves between different states of delinquency, even where they do not ultimately default.

References

Djeundje, V., Crook, J.N. and Andreeva, G. (2026) "Disentangling Environmental and Economic Risks in Mortgage Default: A Spatio-Temporal Modelling and Stress-Testing Framework with Capital Implications." Available at SSRN

Djeundje, V., Crook, J. and Andreeva, G. (2025) "The Devil in the Details: Dynamic Prediction of Loan Profitability with Macroeconomic Drivers through Multistate Modelling." European Journal of Operational Research, 327(2), 703-715.