particular on the methods used to link macroeconomic drivers of stress with bank specific measures of credit risk (macro stress …This paper reviews the quantitative methods used at selected central banks to stress testing credit risk, focusing in … test). Stress testing credit risk is an essential element of the Basel II Framework; because of their financial stability …

GDP shocks owing to a different degree of bank capitalization. The effects on lending of shocks to bank capital that are … effects of the "bank lending channel" from those of the "bank capital channel" in the case of a monetary shock; it also … provides an explanation for asymmetric effects of GDP shocks on lending based on the link between bank capital and risk …