Breuer, Thomas; Jandačka, Martin; Mencía, Javier; … - In: Journal of Banking & Finance 36 (2012) 2, pp. 332-340
We propose a new method for analysing multi-period stress scenarios for portfolio credit risk more systematically than in current macro stress tests. The plausibility of a scenario is quantified by its distance from an average scenario. For a given level of plausibility, we search systematically...