1 Introduction: Economics and Organization of Financial Markets -- Part 1 Basic Financial Instruments -- 2 Basic Finance: Interest rates, Discounting, Investments, Loans -- 3 The Money Market and its Interbank Segment -- 4 The Bond Markets -- 5 Introduction to the Analysis of Interest Rate and...

The impact of a stress scenario of default events on the loss distribution of a credit portfolio can be assessed by determining the loss distribution conditional on these events. While it is conceptually easy to estimate loss distributions conditional on default events by means of Monte Carlo...

This paper deals with stress tests for credit risk and shows how exploiting the discretion when setting up and implementing a model can drive the results of a quantitative stress test for default probabilities. For this purpose, we employ several variations of a CreditPortfolioView-style model...