This paper deals with stress tests for credit risk and shows how exploiting the discretion when setting up and … probabilities are less exposed to model and estimation risk. In addition, the risk horizon over which the stress default … extensive robustness checks for model-based credit risk stress tests. …

portfolio, one for market risk and one for credit risk. Similar approaches are common in banks’ internal models for economic … capital. Although it is known that joint market and credit risk of certain investments can be larger than the sum of risks … holdings or CDS portfolios – are also affected. There are realistic conditions under which credit risk (represented by ratings …

The Value at Risk approach (VaR) is more and more used as a tool for risk measurement. The approach however has … measurement: it is particularly interpretable as a special measure of shortfall risk. From that point of view VaR will be extended … shortcomings both from a theoretical and a practical point of view. VaR can be classified within existing concepts of risk …

that time in general resilient to the default of large banks, i.e. did not exhibit substantial contagion risk. Even though …

literature. First, a numerically more stable objective function for the estimation of the risk neutral density is derived whose …

decline. While participating contracts embedding these guarantees are designed to share market risk across investor cohorts … when guarantees are not binding, we study how binding guarantees distort inter-cohort risk sharing. Using regulatory data …

to estimate Growth at Risk as introduced in Adrian, Boyarchenko, and Giannone's (2019) seminal paper "Vulnerable Growth … volatility and asymmetric measurement densities. Estimating the model based on US data yields conditional forecast densities that …