The framework presented in this paper describes how a risk manager in a systematic and structured way can construct scenarios. It creates a natural platform where quantitative analysts, economists as well as top management within a large bank can discuss, quantify and implement scenarios. A key...

With the focus on multi-horizon macroeconomic credit loss projection models in stress testing and impairments it is of interest to understand how different model assumptions can impact the projection under stressed and best estimate economic projections. In this paper we focus on the popular...

Understanding and quantifying the model risk inherent in loss projection models used in the macroeconomic stress testing and impairment estimation is of significant concern for both banks and regulators. The application of relative entropy techniques allow model misspecification robustness to be...