Climate risk is one of the type of risks in a bank's portfolio which is not fully recognized, and its impact on the … future overall risk changes is hidden due to lack of sufficient knowledge at the moment. One of the most common data comes … from Network for Greening the Financial System (NGFS) scenarios related to climate change (physical risk) and climate …

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. …

of Merton-type models can be used to measure bank risk, and then examine the link between various risk measures and …Centralbanker og tilsynsmyndigheder foretager regelmæssigt stresstest af banksektoren. I takt med at tab akkumuleres i …. Endelig beskriver jeg en metode til at indarbejde stigninger i fundingomkostninger i en "top-down" stresstest. …

demonstrates that more extreme stress scenarios need to be employed in order to match the inference from simple value-at-risk …

asset returns is specified in a parametric form, where correlations are represented as a function of risk factors, such as … country and industry factors. A sparse factor structure linking assets and risk factors is built using Bayesian variable … density regions (HDR) on the joint risk factor distribution allows to infer worst-case correlation scenarios. We give examples …