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 …

Identifying the relevant risk factors and their interdependence is central to understanding the risk exposures and … vulnerabilities of a financial institution. It is needed for risk management, solvency assessment and stress testing. We assemble a … unique dataset of risk factors relevant for insurers which are different than for banks, although they share exposure to …

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. …

to force banks to develop adequate internal risk management procedures while taking a largely agnostic approach as to … downplay risk, while large financial institutions gain a significant advantage and the distribution of responsibility between …-grained guidance on how banks should evaluate climate risk. Although we broadly think this approach is the more effective route to …

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 … 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 … factors, 4) Due to data limitations, the results of reverse stress tests are exposed to considerable model and estimation risk …

reverse stress test exercises in their risk assessment processes, aimed at detecting default or near-default scenarios. We … to derive the critical combination of risk factors that, by triggering a preset key capital indicator threshold, causes …. In the paper, we also show how to take into account some relevant risk factor interactions and second round effects such …

climate change. The risk of uncertain and potentially irreversible catastrophes is an important issue related to the latter … benchmark integrated assessment model. This study moves beyond recent catastrophe or tipping point studies with arbitrary risk … introduced here informs risk management strategies that balance uncertain future climate change impacts with the costs of …