determined by stress tests. The main sources of risk lie in the credit risk arising from exposures to Central, Eastern, and … Southeastern Europe (CESE) and the Commonwealth of Independent States (CIS), indirect credit risk from foreign currency lending …, and credit risk from domestic lending. The Austrian banking systems exhibits ample liquidity. In-depth discussions with …

systems. Using novel risk-weighted indexes the paper examines whether the banking systems’ access to credit was related to … that both domestic and international risk factors contributed to the decline in international interbank borrowing during …

Portfolio credit risk measurement is greatly affected by data constraints, especially when focusing on loans given to … simply ignore the effects of macroeconomic shocks on credit risk. Aiming to improve the measurement of portfolio credit risk … portfolio multivariate distributions (on which portfolio credit risk measurement relies) with improved specifications, when only …

centered on Cihák (2007). The framework seeks enriching stress tests in terms of risk-sensitivity, while keeping them flexible …, transparent, and user-friendly. The main contributions include (a) increasing the risk-sensitivity of stress testing by capturing … changes in risk-weighted assets (RWAs) under stress, including for non-internal ratings based (IRB) banks (through a quasi …