The problem of robust estimation and multivariate outlier detection of the term structure of default intensity is considered. Both the multivariate Vasicek and CIR models, embedding the Kalman filter algorithm in a forward search context, are used to estimate default intensity. The focus is not...

Frontmatter -- Advance Praise for Reverse Stress Testing in Banking -- Acknowledgements -- Foreword -- Contents -- Part I: Fundamentals of Reverse Stress Testing -- 1 Reverse Stress Testing: A Versatile Thinking Tool -- 2 Reverse Stress Testing in Banks -- 3 Reverse Stress Testing: An Overview...

Model risk is investigated from a commercial banking viewpoint. We firstly analyze model misspecification. Then, the focus shifts towards model sensitivity. Finally, interactions among various models are scrutinized. Our overarching goal is to derive a distribution of indicators for summarizing...