Incorporating Climate Risk into Credit Risk Modeling: An Application in Housing Finance
This paper examines the integration of climate risks into structural credit risk models. We focus on applications in housing finance and argue that mortgage defaults due to climate disasters have different statistical features than default due to household-specific reasons. We propose two models inc...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
MDPI AG
2023-09-01
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| Series: | FinTech |
| Subjects: | |
| Online Access: | https://www.mdpi.com/2674-1032/2/3/34 |