An Efficient SSP-based Methodology for Assessing Climate Risks of a Large Credit Portfolio - Archive ouverte HAL
Pré-Publication, Document De Travail Année : 2024

An Efficient SSP-based Methodology for Assessing Climate Risks of a Large Credit Portfolio

Résumé

We examine climate-related exposure within a large credit portfolio, addressing transition and physical risks. We design a modeling methodology that begins with the Shared Socioeconomic Pathways (SSP) scenarios and ends with describing the losses of a portfolio of obligors. The SSP scenarios impact the physical risk of each obligor via a DICE-inspired damage function and their transition risk through production, requiring optimal adjustment. To achieve optimal production, the obligor optimizes various energy sources to align its greenhouse gas (GHG) emission trajectories with SSP objectives, while accounting for uncertainties in consumption trajectories. Ultimately, we obtain a Gaussian factor model whose dimension is of the order of the number of obligors. Two efficient dimension reduction methods (Polynomial Chaos Expansion and Principal Component Analysis) provide a fast and accurate method for analyzing credit portfolio losses.
Fichier principal
Vignette du fichier
Climate_risk_assessment_on_a_credit_portfolio_Paper_final_version.pdf (1.02 Mo) Télécharger le fichier
Origine Fichiers produits par l'(les) auteur(s)
Licence
Copyright (Tous droits réservés)

Dates et versions

hal-04665712 , version 1 (31-07-2024)

Licence

Copyright (Tous droits réservés)

Identifiants

  • HAL Id : hal-04665712 , version 1

Citer

Florian Bourgey, Emmanuel Gobet, Ying Jiao. An Efficient SSP-based Methodology for Assessing Climate Risks of a Large Credit Portfolio. 2024. ⟨hal-04665712⟩
181 Consultations
164 Téléchargements

Partager

More