literature. First, a numerically more stable objective function for the estimation of the risk neutral density is derived whose … integrals can be solved analytically. Second, it is reasoned that the originally proposed approach for the estimation of the PoD …

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 …

This paper proposes a Skewed Stochastic Volatility (SSV) model to model time varying, asymmetric forecast distributions … 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 …

real economic activity growth, in line with a risk shock. Conversely, a certainty shock (a shock strongly decreasing …

The uncertainty of U.S. core inflation, measured by the stochastic volatility of forecast errors, has soared to a level …

factors, 4) Due to data limitations, the results of reverse stress tests are exposed to considerable model and estimation risk … exposed to credit and interest rate risk and demonstrates how the model can be calibrated empirically. The main features of … macroeconomic risk factors, 3) Principal component analysis helps to reduce the dimensionality of the space of systematic risk …

to overestimate the number of jumps in yield spreads and puts the coherence of test results at risk. We formalize the …