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.
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The research behind the course
The course draws on a substantial and growing body of research produced by its instructors, ensuring that participants engage directly with cutting-edge findings rather than established consensus alone.
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.