Research Papers
Original research from our team on computational finance, machine learning, and data engineering.
A Quantitative Framework for Incorporating ESG Factors in Insurance
Ashwani Roy, Dr Rui Qin, Dr Yingjie Wang · 2025-09-16
ESG has moved from reputation management into the centre of actuarial and financial modelling. For insurers it affects both sides of the balance sheet: assets, through stranded exposures, green bonds and credit risk adjustments, and liabilities, through climate-driven catastrophes, morbidity and litigation. Solvency II, IAIS climate supervision and TCFD all require ESG to be addressed, yet most implementations remain qualitative or scenario-based. This paper builds the mathematics to embed ESG directly into the models insurers already run.
Read paper (PDF)Framework for Estimating Stressed Sovereign PD Due to Transition Risk
Ashwani Roy, Dr Rui Qin · 2025-02-07
Climate transition risk reaches a bank through its borrowers, and for banks holding sovereign exposure it reaches them through the state as well. In a hydrocarbon-dependent economy a rising carbon price compresses the share of GDP that comes from hydrocarbons, which moves the debt-to-GDP ratio, the credit rating and in turn the probability of default. This paper sets out a framework linking carbon price paths to stressed sovereign PD, with worked results for three GCC economies.
Read paper (PDF)Assessment of Physical Risk from Flooding and its Financial Impact on Loans
Angel Lane Partners · 2024-08-01
Physical climate risk sits in a mortgage book unpriced: two identical properties are underwritten the same way whether or not one of them floods. This paper sets out a methodology running from the coordinates of a property through to the expected loss on the loan secured against it and works it through on a UAE flood case study.
Read paper (PDF)Transition Risk Models for Loan Portfolio Stress Testing
Dr Rui Qin, Ashwani Roy, Dr Arpad Borock · 2024-06-10
Climate transition risk is the financial stress a company faces as the economy decarbonises, and it reaches a bank through its borrowers. This paper sets out two methodologies for quantifying that stress on a loan portfolio, both aligned to NGFS climate scenarios and to the approaches proposed by the Central Bank of the UAE and the Bank of Canada. It covers the full chain from emissions data to probability of default.
Read paper (PDF)Bridging Diffusing-Diffusivity and Stochastic Volatility: Insights from Physics to Finance
Rohit Jain, Dr Rui Qin, Ashwani Roy
The Black-Scholes model assumes constant volatility, while real markets show volatility clustering, fat tails and leverage effects. Stochastic volatility models address this, and the mathematics behind them closely resembles a problem statistical physics has already solved: a particle whose diffusion coefficient changes as it moves through a heterogeneous environment. This paper maps one onto the other and uses the physics to derive results in finance.
Read paper (PDF)