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  "notes": "Uses Merton-type structural credit risk models with deterministic climate risk shocks.",
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      "text": "For reassessment of credit spread and default risks, link the impacts from the equity valuation on the underlying fixed income valuation by employing a Merton-type structural credit risk models enhanced by a deterministic climate risk shock.",
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      "text": "Via the calibration based off the equity shock, the severity of the additional shock may also strongly depend on how climate-friendly the issuer is. The ESG-dependency can also be made explicit by decomposing the model asset return.",
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      "text": "The shock depends on the issuer i and the policy scenario P. It can be calibrated by assigning a suitable equity index. The calibrated shock relative to its volatility is then used as proxy for a shock on asset returns.",
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      "text": "THE METHODOLOGY FROM EQUITY VALUATION IS LEVERAGED USING STRUCTURAL CREDIT RISK MODELS IN ORDER TO UPDATE DEFAULT/MIGRATION PROBABILITIES",
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