How to Integrate Climate into Credit Risk

As a Managing Director within Risk Management at MUFG EMEA, Cathryn is responsible for credit portfolio risk management and ensuring a robust operating environment to manage single name credit risk. In addition to these core responsibilities, she leads the development of our approach to climate change within credit risk and works with Tokyo closely on the wider MUFG approach.

Cathryn joined MUFG in 2009, initially in Internal Audit, before moving to Risk where she joined Enterprise Risk Management. Within Enterprise Risk she was involved in significant regulatory remediation covering risk appetite, scenario analysis and capital adequacy. Prior to working with MUFG, Cathryn was at KPMG, supporting key clients such as HSBC.

Cathryn earned her First Class Masters in Physics from Bristol University, UK in 2006. Cathryn is also a Chartered Accountant with the ICAEW and CFA holder.

Diana Kapsa is Head Corporate Credit Risk Models within the Quantitative Risk Modelling department of the UBS Group. In this role, she is responsible for the development and maintenance of credit risk models for capital and credit risk measurement purposes (e.g. PDs / LGD / EAD model, early warning systems) as well as macroeconomic scenario loss / credit stress testing models addressing regulatory and capital planning requirements covering global UBS`s retail and wholesale portfolios. In this context, she drives implementation of key regulatory initiatives incl. Basel3 finalization and the inclusion of Climate risk to credit risk models. Prior to joining UBS in 2013, Diana was a Junior Partner at McKinsey & Company in Munich. Diana Kapsa holds a PhD in economics and social sciences from the Witten/Herdecke University and studied Computer Science, Mathematics and Business Administration at the Darmstadt University of Technology (Germany), University of British Columbia (Canada) and University of Vienna (Austria).

Maxine is a Senior Vice President at the GARP Risk Institute, GARP’s research and thought leadership arm, where she focusses on climate and environmental financial risk management. 

She has extensive experience in risk, capital and regulation gained from a wide-ranging variety of roles, including Global Head of Wholesale Risk Analytics and Head of Capital Planning at HSBC, significantly expanding counterparty credit risk management at the UK Financial Services Authority during the last financial crisis, leading the credit risk team at KPMG London, senior credit risk consultant at Oliver Wyman, and embedding operational risk analytics globally at National Australia Bank. Maxine has a degree in mechanical engineering and a PhD about how best to apply probability theory to real world problems.