In this paper we propose a statistically derived measure as an alternative to the simple average PD to provide more accurate risk assessment at portfolio level. The theoretical analysis is followed by a numerical example in sections 3 and 4. We then assess the accuracy and representativeness...

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...