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 appealing HTML documents directly from the source code and reStructuredText (reST) markup, offering a flexible 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 – Pillar 1, and also around Economic Capital, ICAAP, Pillar 2… Doing the Math — Read more…
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 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 you to PREMIA Ireland for organising and moderating this great discussion.
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 Read more…
London, UK, September 21, 2020 – We are delighted to announce that Anne Gruz has joined Green RWA association as Head of Climate Financial Risk and member of the Executive Committee. Anne will be leading the financial streams, including the foundational climate risk model, that Green RWA is pursuing to help Read more…
How banks can save the planet! White Paper Summary:The authors of this White Paper believe that regulated capitalism through banks, can contribute to free the planet from the deadly threat created by an extremely fast and energy-thirsty growth over the last 150 years. On top of Green Bonds, banks, by Read more…