credit and interest rate risk, the way it measures bank capital, and the way it creates countercyclical capital buffers …

In this paper we stress-test credit portfolios of 28 German banks based on a Mertontype multi-factor credit risk model …%-80% for the total portfolio. This result confirms the need to account for hidden sectoral concentration risk because the … increase in expected loss is driven mainly by correlation effects with related industry sectors. Therefore, credit risk …

Stress testing has recently become a critical risk management and capital planning tool for large financial … requirements was a spectacular failure: the Office of Federal Housing Enterprise Oversight's (OFHEO) risk-based capital stress test …

This paper investigates the main individual driving forces of Hungarian household credit risk and measures the … credit risk, namely the financial margin, the logit and the neural network approaches, and uses these methods for stress … testing. Our results suggest that the main individual factors affecting household credit risk are disposable income, the …

holdings. The model enables the analysis of credit risk transfer mechanisms, includes features of market and liquidity risk …’ losses due to direct and correlated bond exposures are significantly higher than losses due to CDS exposures. The main risk …

solvency of the main euro area insurance sectors. We model the balance sheet of an insurance company encompassing both life and … developments and stochastic claims. The model highlights the potential threats to insurers solvency and profitability stemming from …

demonstrates that more extreme stress scenarios need to be employed in order to match the inference from simple value-at-risk …

borrowers in terms of their characteristics. Furthermore, we show how the aggregate credit risk in the household sector would …

solvency of the main euro area insurance sectors. We model the balance sheet of an insurance company encompassing both life and … developments and stochastic claims. The model highlights the potential threats to insurers solvency and profitability stemming from …