Elisa Ndiaye

Participation in ACPR 2020 and ECB 2022 climate stress tests: design and calibration of models integrating transition risks (environmental pillar of the ESG framework) into credit metrics (modified ASRF, climate scenario-conditional migration matrices) and dynamization of the bank's balance sheet.

• Development of a model for integrating climate risks (transition and physical) into the calculation of corporate default probabilities, used to analyze the business impacts of severe transition scenarios.

• Calculation of default probabilities, sales trajectories, and corporate carbon emissions, modeling of business models under climate scenarios, based on Monte Carlo and stochastic control (Python/R).

• Analysis of extreme climate scenarios to assess the sensitivity of credit portfolios (contributions transferable to reverse stress-test type analyses).

• Contribution to long-term projections of credit risk metrics (PD, expected losses) in conjunction with climate scenarios, elements usable in ICAAP work.

• Implementation of alternative calibration methods for low-dimensional samples.

• Production of technical documentation and reproducible scripts to ensure traceability and maintenance of models.

• Writing research papers and participating in conferences.