Work

The Climate Extended Risk Model (CERM)

Year: 2021

Type: preprint

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.

Source: RePEc: Research Papers in Economics

DOI: 10.48550/arxiv.2103.03275

Authors: Garnier, Josselin, Gaudemet, Jean-Baptiste, Gruz, Anne

Institutions: École Polytechnique, Centre de Mathématiques Appliquées de l'École polytechnique, Institut Polytechnique de Paris

Language: English

Topic: Sustainable Finance and Green Bonds

Subfield: Finance

Field: Economics, Econometrics and Finance

Domain: Social Sciences

SDG: Climate action

Open Access status: green

Funder: BNP Paribas Cardif

OpenAlex ID: W3135020758

Cites: 6

Cited by: 4

Related to: 20