<section xml:id="fut21695-sec-0001"> This paper introduces a simple, non‐parametric way of inferring risk‐neutral credit stress event intensities for idiosyncratic, sectoral, and global shocks contained in market credit spreads. We provide an econometric analysis of the implied latent stress event dynamics. A vector...</section>

We model multiyear loss distributions based on credit scores and macroeconomic risk drivers. In a two-step approach, we first model future default probabilities as functions of these risk factors and, second, model processes for the risk factors themselves. As an essential extension to one-year...