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 …

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. …

Standardized Approach leads to an up to 33% lower stress impact relative to the more risk-sensitive "pseudo-IRB" approach. …

recourse to central bank finance is rather limited and does not affect the risk-taking behaviour of banks in the non …

are translated into aggregate estimates of credit risk indicators. The micro approach uses firm- level balance sheet and …, highlighting the importance of concentration risk in bank portfolios. …

requirements and, for example, have to ensure capital adequacy if the internal risk parameters are being stressed. The academic … scenarios which are selected on the basis of algorithms that consider historical characteristics of the risk factors …. Furthermore, banks' conventional credit risk models can be modified and used for stress testing. As stress testing is exposed to …

exposed to credit and interest rate risk and demonstrates how the model can be calibrated empirically. The main features of … macroeconomic risk factors, 3) Principal component analysis helps to reduce the dimensionality of the space of systematic risk … factors, 4) Due to data limitations, the results of reverse stress tests are exposed to considerable model and estimation risk …

-down, stress-testing framework to quantify systemic risk. The key transmission mechanism is a two-way interaction between the …

supply. Exposed (unregulated) nonbanks buy the shed risk. AQR drives the results, not the end-of-year. After AQR compliance …