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The Climate Extended Risk Model (CERM)

Published 4 Mar 2021 in q-fin.RM, q-fin.PM, and q-fin.PR | (2103.03275v2)

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.

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