portfolio, one for market risk and one for credit risk. Similar approaches are common in banks’ internal models for economic … capital. Although it is known that joint market and credit risk of certain investments can be larger than the sum of risks … holdings or CDS portfolios – are also affected. There are realistic conditions under which credit risk (represented by ratings …

probabilities, on reduced-form credit risk stress testing. This type of uncertainty is omnipresent in most macroeconomic stress … testing applications due to short time series for banks' portfolio risk parameters and highly collinear macroeconomic … distributions and implied capital shortfalls by conducting a full-edged top-down credit risk stress test for over 1,500 German banks …

We propose and implement a method to identify shocks to transition risk, addressing key challenges regarding its … risk in the United States. These shocks have important aggregate effects, also inducing financial instability. They are …

. Furthermore, we find that the first implementation steps lead to the greatest risk-weighted assets reductions, which indicates … that bank risk management improves with a progressing rollout. …

This paper deals with stress tests for credit risk and shows how exploiting the discretion when setting up and … probabilities are less exposed to model and estimation risk. In addition, the risk horizon over which the stress default … extensive robustness checks for model-based credit risk stress tests. …

The internal ratings-based (IRB) approach maps bank risk profiles more adequately than the standardized approach. After … switching to IRB, banks' risk-weighted asset (RWA) densities are thus expected to diverge, especially across countries with … different supervisory strictness and risk levels. However, when examining 52 listed banks headquartered in 14 European countries …

The Value at Risk approach (VaR) is more and more used as a tool for risk measurement. The approach however has … shortcomings both from a theoretical and a practical point of view. VaR can be classified within existing concepts of risk … measurement: it is particularly interpretable as a special measure of shortfall risk. From that point of view VaR will be extended …