The Climate Extended Risk Model (CERM)

Josselin Garnier, Jean-Baptiste Gaudemet and Anne Gruz

Papers from arXiv.org

Abstract: This paper addresses estimates of climate risk embedded within a bank credit portfolio. The proposed Climate Extended Risk Model (CERM) adapts well known credit risk models and makes it possible to calculate incremental credit losses on a loan portfolio that are rooted into physical and transition risks. The paper provides detailed description of the model hypotheses and steps.

Date: 2021-03, Revised 2022-04
New Economics Papers: this item is included in nep-ene, nep-env and nep-rmg
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Citations: View citations in EconPapers (2)

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Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:2103.03275

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