/CreditRiskAndClimateChange

This project aims at jointly modeling physical and transition risk within a Merton-like credit risk model, building up on [Bouchet and Le Guenedal, 2020]

Primary LanguageJupyter Notebook

Climate change modeling and its impact on Credit Risk.

  • This project aims at jointly modeling physical and transition risk within a Merton-like credit risk model, building up on [Bouchet and Le Guenedal, 2020].
  • This project was developed with two colleagues of mine (G.Manhes & Z. Sapey-Triomphe) during my master year at Ponts Paristech in 2020/2021

You will find in the repository the pdf report and the associated notebook.