We investigate default probabilities and default correlations of Merton-type credit portfolio models in stress scenarios where a common risk factor is truncated. The analysis is performed in the class of elliptical distributions, a family of light-tailed to heavy-tailed distributions...

We investigate correlations of asset returns in stress scenarios where a common risk factor is truncated. Our analysis is performed in the class of normal variance mixture (NVM) models, which encompasses many distributions commonly used in financial modelling. For the special cases of jointly...

We present a general approach to implementing stress scenarios in a multi-factor credit portfolio model and illustrate the proposed methodology by stressing a large investment banking portfolio. Although the methodology is developed in a particular factor model, the main concept - stressing risk...