Rémi Hurstel's starred repositories
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]
Credit_Risk_Sensitivity_to_Carbon_Price
Computation of probability of default with jumps to simulate climate disaster events
Term-Premium
Pricing the term structure with linear regression (Replication of Adrian, Crump, Moench 2013 JFE paper)