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Credit Migration

Climate Finance

Iggaak co-develops the Climate-Extended Risk Model

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…

By Iggaak, 2 years28/12/2020 ago
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