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Credit risk for large portfolios of green and brown loans: extending the ASRF model
Alessandro Ramponi, Sergio Scarlatti
https://arxiv.org/abs/2506.12510 h…

Credit risk for large portfolios of green and brown loans: extending the ASRF model
We propose a credit risk model for portfolios composed of green and brown loans, extending the ASRF framework via a two-factor copula structure. Systematic risk is modeled using potentially skewed distributions, allowing for asymmetric creditworthiness effects, while idiosyncratic risk remains Gaussian. Under a non-uniform exposure setting, we establish convergence in quadratic mean of the portfolio loss to a limit reflecting the distinct characteristics of the two loan segments. Numerical resu…