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 …

probabilities, on reduced-form credit risk stress testing. This type of uncertainty is omnipresent in most macroeconomic stress … testing applications due to short time series for banks' portfolio risk parameters and highly collinear macroeconomic … distributions and implied capital shortfalls by conducting a full-edged top-down credit risk stress test for over 1,500 German banks …

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. …

the low carbon-emitting sector, and (ii) reduce real investment and the capital stock in the highly carbon-emitting sector …, while real investment in the sector with low carbon emissions tends to fare better. To apply the theoretical predictions to … low carbon emissions, and (ii) substantial investment reallocation takes place, in particular from the manufacturing …

We propose and implement a method to identify shocks to transition risk, addressing key challenges regarding its … risk in the United States. These shocks have important aggregate effects, also inducing financial instability. They are …

. Furthermore, we find that the first implementation steps lead to the greatest risk-weighted assets reductions, which indicates … that bank risk management improves with a progressing rollout. …

In the last decade, stress tests have become indispensable in bank risk management which has led to significantly … enhanced considerably over the course of the last few years, the majority of credit risk models (e.g. Merton (1974 … that the use of a Gaussian copula in credit risk stress testing should not by default be dismissed in favor of a heavy …