31 May-2 Jun 2022 Paris (France)
The Climate Extended Risk Model (CERM)
Josselin Garnier  1@  
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.




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