Anne Gruz co-presented the CERM model at the event organized by the Paris based Institut Louis Bachelier “Finance and Sustainable Growth” Laboratory, teaming up with Josselin Garnier and Jean-Baptiste Gaudemet. The CERM is a tentative approach to model the impacts from transition and physical risks on credit risk. In addition Green RWA developed a model to calibrate the input parameters.
Everyone recognizes the value of documenting code. Our Python implementation of Climate360 and the CERM model now includes Sphinx documentation, making team onboarding for real-life portfolio testing smoother. This tool allows for the creation of Read more…
Article by Climate X referencing our climate finance research paper on extending the asymptotic single risk factor (ASRF) model to physical and transition risk. It can indeed be used to support discussions around Regulatory Capital Read more…
Iggaak presented modeling objectives, design choices and challenges at this PRMIA – Professional Risk Managers’ International Association – event on the quantification of climate risk, with some excellent insights and pointers shared by co-panelists. Thank Read more…