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.
Categories: Climate Finance
