This report summarises the findings of the task force. It is organised as follows. Section 2 starts with a discussion of the relevance of credit risk for central banks. It is followed by a short introduction to credit risk models, parameters and systems in Section 3, focusing on models used by...

Scenarios are the language of Risk. While scenario analysis and stress testing have been an explicit part of risk management methodologies and systems for over two decades, the typical scenario and stress testing tools haven't evolved much and are still generally quite static and largely...