Rémi Hurstel's starred repositories

full_fred

Full Python interface to Federal Reserve Economic Data (FRED)

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Term-Premium

Pricing the term structure with linear regression (Replication of Adrian, Crump, Moench 2013 JFE paper)

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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]

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Credit_Risk_Sensitivity_to_Carbon_Price

Computation of probability of default with jumps to simulate climate disaster events

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