4 papers
A stochastic SIR model for cyber contagion: application to granular growth of firms and to insurance portfolio
Caroline Hillairet, Olivier Lopez, Lionel Sopgoui
This work evaluates the impact of contagious cyber-events, over a finite horizon, on firms' financial health and on a cyber insurance portfolio. Our approach builds on key empirica…
Modeling the impact of Climate transition on real estate prices
Lionel Sopgoui
In this work, we propose a model to quantify the impact of the climate transition on a property in housing market. We begin by noting that property is an asset in an economy. That…
Impact of Climate transition on Credit portfolio's loss with stochastic collateral
Lionel Sopgoui
The aim of this work is to propose an end-by-end modeling framework to evaluate the risk measures of a bank's portfolio of collateralized loans in an economy subject to the climate…
Propagation of a carbon price in a credit portfolio through macroeconomic factors
Géraldine Bouveret, Jean-François Chassagneux, Smail Ibbou +2
We study how the climate transition through a low-carbon economy, implemented by carbon pricing, propagates in a credit portfolio and precisely describe how carbon price dynamics a…