paper
A Stochastic Climate Model -- An approach to calibrate the Climate-Extended Risk Model (CERM)
Jean-Baptiste Gaudemet, Jules Deschamps, Olivier Vinciguerra
A Stochastic Climate Model -- An approach to calibrate the Climate-Extended Risk Model (CERM)
Jean-Baptiste Gaudemet, Jules Deschamps, Olivier Vinciguerra
Paper2022-05-05English
risk managementarxiv
Description
The initial Climate-Extended Risk Model (CERM) addresses the estimate of climate-related financial risk embedded within a bank loan portfolio, through a climatic extension of the Basel II IRB model. It uses a Gaussian copula model calibrated with non stationary macro-correlations in order to reflect the future evolution of climate-related financial risks. In this complementary article, we propose a stochastic forward-looking methodology to calibrate climate macro-correlation evolution from scien...
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