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 …

. 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. …

In the last decade, stress tests have become indispensable in bank risk management which has led to significantly … enhanced considerably over the course of the last few years, the majority of credit risk models (e.g. Merton (1974 … that the use of a Gaussian copula in credit risk stress testing should not by default be dismissed in favor of a heavy …

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 …

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. …

choices being observed, compared to anonymity of choices, on risk taking in a laboratory experiment. I relate participants …' investments in a risky asset directly to social norms for risk taking that are elicited in an incentivized procedure. I find that … risk taking is not affected by the choice being observed by a matched participant. Nor do investments follow elicited norms …

enhance welfare. The paper offers a new theory to explain why stress tests are generally welfare enhancing. We also offer a …