Portfolio credit risk is often concerned with the tail distribution of the total loss, defined to be the sum of default losses incurred from a collection of individual loans made out to the obligors. The default for an individual loan occurs when the assets of a company (or individual) fall...

This paper addresses the building of obligor-level hazard rate corporate probability of default models for stress testing, departing from the predominant practice in wholesale credit modeling of constructing segment-level models for this purpose. We build models based upon varied financial,...