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 …

Using a unique data set on German banks' loans to the German real economy, we investigate banks' credit risk. This data … banks, this percentage is less than eight percent. -- Credit risk ; systematic risk ; maturity ; stress tests …

Life insurers typically grant policyholders a surrender option. We demonstrate that the resulting lapse risk could …

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