The Climate Extended Risk Model adapts well known credit risk models. It proposes a method to calculate incremental credit losses on a loan portfolio that are rooted into physical and transition risks. The document available on arxiv https://arxiv.org/abs/2103.03275 provides detailed description of the model hypothesis and steps. This work was initiated by the association Green RWA (Risk Weighted Assets). It was written by Josselin Garnier in collaboration with Jean-Baptiste Gaudemet, Anne Gruz, and Olivier Vinciguerra, who contributed their financial and risk expertise. It extends the model proposed in a first white paper published by Green RWA (this https URL). Iggaak also takes care of its application to a pilot-portfolio.
Sphinx Documentation for our Climate360 and CERM Implementation
We all agree on the importance of code documenting. Our python implementation of Climate360 and the CERM model now comes with a Sphinx documentation so that we can easily onboard teams when testing on real-life Read more…