This paper introduces a model for stress testing of probability of default of individuals. The model rests on assumption that the individual defaults if his savings fall below zero. The probability of default is then described as a function of several macroeconomic indicators such as wages,...

We will assume a chaotic (mixing) reality, can observe a substantially aggregated state vector only and want to predict one or more of its elements using a stochastic model. However, chaotic dynamics can be predicted in a short term only, while in the long term an ergodic distribution is the...