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A friend of mine has sent me through this presentation on modelling credit risk on weather-related portfolios. These ones are typically difficult to model as they rely less on the actual credit history of the borrower (although that is still important) and more on random events that are beyond the control of the obligor.
Normally, these matter to banks with considerable agricultural lending, but they can also be relevant to banks with considerable mining exposure, particularly in environments with extreme weather variation.
I hope it is useful.

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