Stress testing has become a crucial point on the Basel II agenda, mainly as Pillar I estimates do not explicitly take portfolio concentration into account. We start from the credit portfolio of the German pension insurer being a cross-sectional representation of the German economy and...

The analysis of credit risk and its impacting factors are important topics for the European Investment Fund (EIF, the Fund) as the Fund provides guarantees to financial institutions for portfolios of loans and leases to micro- and small and medium sized-enterprises (SMEs). In this context, the...

The situation of a limited availability of historical data is frequently encountered in portfolio risk estimation, especially in credit risk estimation. This makes it, for example, difficult to find temporal structures with statistical significance in the data on the single asset level. By...