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Modelling the Impact of Climate Change Induced Events on the Loss Level of a Dutch Mortgage Portfolio

Gerrits, Jaap (2022) Modelling the Impact of Climate Change Induced Events on the Loss Level of a Dutch Mortgage Portfolio.

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Abstract:This research looks at the impact of climate change induced events on the expected loss of a Dutch mortgage portfolio. In particular, a quantification method is used to measure the impact of flooding and pole rot on the value of the underlying property of each mortgage. With this method an analysis is made to identify which areas have the highest exposures for the mortgage portfolio. A sensitivity analysis is then applied to see if any large changes occur in the exposure with respect to these climate events. We conclude that for the expected loss the impact of flooding is limited, whilst that of pole rot is a lot more significant.
Item Type:Essay (Master)
Clients:
The Volksbank, Utrecht, The Netherlands
Faculty:BMS: Behavioural, Management and Social Sciences
Subject:83 economics
Programme:Industrial Engineering and Management MSc (60029)
Link to this item:https://purl.utwente.nl/essays/91245
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