The Climate Extended Risk Model (CERM)
1 : École Polytechnique
CMAP, École Polytechnique
This talk 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 talk presents the model hypotheses and steps.
- Poster