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The Climate Extended Risk Model (CERM)

Risk Management 2022-04-12 v2 Portfolio Management Pricing of Securities
Authors: Josselin Garnier , Jean-Baptiste Gaudemet , Anne Gruz
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Abstract

This paper addresses estimates of climate risk embedded within a bank credit portfolio. The proposed Climate Extended Risk Model (CERM) adapts well known credit risk models and makes it possible to calculate incremental credit losses on a loan portfolio that are rooted into physical and transition risks. The paper provides detailed description of the model hypotheses and steps.

Keywords

credit risk modeling insurance and risk management financial risk and regulation

Cite

@article{arxiv.2103.03275,
  title  = {The Climate Extended Risk Model (CERM)},
  author = {Josselin Garnier and Jean-Baptiste Gaudemet and Anne Gruz},
  journal= {arXiv preprint arXiv:2103.03275},
  year   = {2022}
}

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