This paper proposes a model to conduct macro stress test of credit risk for the banking sector based on scenario analysis. We employ an original bank-level data set that splits bank credit portfolios in 21 granular categories, covering household and corporate loans. The results corroborate the...

Credit rating is an index for classifying credit risk that attributes scores based on investor trust and confidence in the company issuing bonds in the financial market. This article studies rating as signs of default (insolvency) in companies. Fitch Ratings was used due to the transparency of...