that, while inessential to the theoretical mechanism that is central to the specific theory, would be essential to fit the …

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 …

real economic activity growth, in line with a risk shock. Conversely, a certainty shock (a shock strongly decreasing …

to estimate Growth at Risk as introduced in Adrian, Boyarchenko, and Giannone's (2019) seminal paper "Vulnerable Growth …

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

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. …