The paper presents the basic Credit Risk+ model, and proposes some modifications. This model could be useful in the … stress-testing financial sector assessments process as a benchmark for credit risk evaluations. First, we present the setting … based on Bernoulli-distributed default events and known default probabilities to the fully-fledged Credit Risk …

We analyze a new fluctuation test for constant correlation with respect to its properties and possible applications in …

, a risk-adjusted balance sheet relating bank asset values to equity value, default risk, and bank funding costs. Even … though the results show that banks are found to be resilient to shocks, more work on systemic risk models could help analyze … systemic risk under stress scenarios. …

and com-modity price levels and volatilities emphasize the importance of risk management to ethanol investors. This paper … uses an insurance approach to outline a risk management tool which mimics the gross margin level of a typical corn …

Systemic risk remains a major concern to policymakers since widespread defaults in the corporate and financial sectors … could pose substantial costs to society. Forward-looking measures and/or indicators of systemic default risk are thus needed … systemic default risk indicators using the information embedded in single-tranche standardized collateralized debt obligations …

Portfolio credit risk measurement is greatly affected by data constraints, especially when focusing on loans given to … simply ignore the effects of macroeconomic shocks on credit risk. Aiming to improve the measurement of portfolio credit risk … macroeconomic shocks into credit risk, recovering robust estimators when only short time series of loans exist. CIMDO recovers …

This paper presents an integrated framework for assessing systemic risk. The framework models banks’ capital asset … quality and credit growth. The analysis is complemented by a simple measure of systemic risk, which captures tail risk … risk scenarios that assess the impact of aggregate and idiosyncratic factors. The analysis is based on CreditRisk+, which …

The availability of financial instruments related to indices that track global financial conditions and risk appetite … during times of systemic crises. Moreover, high risk countries seem to gain more, as their underlying weaknesses makes them …