A systematic approach to multi-period stress testing of portfolio credit risk

Journal of Banking and Finance

Volumn 36, Issue 2, 2012, Pages 332-340

  Breuer, Thomas ^a   Jandačka, Martin ^a   Mencía, Javier ^b   Summer, Martin ^c  

^a PPE Research Centre   (Austria)

^b BANCO DE ESPAÑA   (Spain)

^c OESTERREICHISCHE NATIONALBANK   (Austria)

Author keywords

Credit risk; Maximum loss; Stress testing; Worst case search

Indexed keywords

EID: 81955167944     PISSN: 03784266     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.jbankfin.2011.07.009     Document Type: Article

References (28)

1. Alfaro, R., Drehmann, M., 2009. Macro stress tests and crises: what can we learn? In: BIS Quarterly Review. Bank of International Settlements, pp. 29-41.
2. Artzner P., Delbaen F., Ebner J., Heath D. Coherent measures of risk. Mathematical Finance 1999, 9:203-228.
3. Berkowitz J. A coherent framework for stress testing. Journal of Risk 2000, 2:5-15.
4. Black F., Scholes M. The pricing of options and corporate liabilities. Journal of Political Economy 1973, 81:637-655.
5. Bonti G., Kalkbrener M., Lotz C., Stahl G. Credit risk concentrations under stress. Journal of Credit Risk 2006, 2:115-136.
6. Borio, C., Drehmann, M., 2009. Towards an Operational Framework for Financial Stability: +fuzzy+ Measurement and its Consequences. BIS Working Paper 284, Bank of International Settlements.
7. Breuer T. Overcoming dimensional dependence of worst case scenarios and maximum loss. Journal of Risk 2008, 11(1):79-92.
8. Breuer, T., Csiszár, I., 2010. If Worse Comes to Worst: Systematic Stress Testing in General Risk Models. eLibrary 1328022, SSRN. http://ssrn.com/paper=1328022.
9. Breuer T., Jandačka M., Rheinberger K., Summer M. How to find plausible, severe and useful stress scenarios. International Journal of Central Banking 2009, 3:205-224.
10. Counterparty Risk Management Policy Group, 2008. Containing systemic risk: the road to reform. The Report of the CPRMG III. Tech. Rep., Counterparty Risk Management Policy Group, http://www.crmpolicygroup.org.
11. De R., Tamarchenko T. VAR you can rely on. Risk 2002, 15(8):77-81.
12. De Prisco B., Iscoe I., Kreinin A., Nagi A. A semi-analytical method for VAR and credit exposure analysis. Annals of Operations Research 2007, 152:23-47.
13. Drehmann, M., 2005. A Market based Macro Stress Test for the Corporate Credit Exposures of UK Banks, Bank of England Working Paper.
14. Drehmann, M., Patton, A.J., Sorensen, S., 2006. Corporate Defaults and Macroeconomic Shocks: Non-Linearities and Uncertainty, Bank of England Working Paper.
15. Fang K.-T., Kotz S., Ng K.-W. Symmetric multivariate and related distributions. Monographs in Statistics and Probability 1987, vol. 36. Chapman and Hall, London.
16. Finger, C., 1999. Conditional Approaches for CreditMetrics Portfolio Distributions. CreditMetrics Monitor, Riskmetrics Group.
17. Fiori, R., Foglia, A., Iannotti, S., 2007. Estimating Macroeconomic Credit Risk and Sectoral Default Rate Correlations for the Italian Economy, Bank of Italy Working Paper.
18. Gordy M.B. A risk-factor model foundation for ratings-based bank capital rules. Journal of Financial Intermediation 2003, 12:199-232.
19. Jiménez G., Mencía J. Modeling the distribution of credit losses with observable and latent factors. Journal of Empirical Finance 2009, 16:235-253.
20. Merton R.C. On the pricing of corporate debt: the risk structure of interest rates. Journal of Finance 1974, 29:449-470.
21. Misina, M., Tessier, D., Dey, S., 2006. Stress Testing the Corporate Loans Portfolio of the Canadian Banking Sector, Bank of Canada Working Paper No. 2006-47.
22. Pesaran M.H., Schuermann T., Treutler B.J., Weiner S.M. Macroeconomic dynamics and credit risk: a global perspective. Journal of Money, Credit and Banking 2006, 38:1211-1261.
23. Pistovčák F., Breuer T. Using quasi Monte Carlo-scenarios in risk management. Monte Carlo and Quasi-Monte Carlo-Methods 2002 2004, 379-392. Springer. H. Niederreiter (Ed.).
24. Vasicek, O., 1987. Probability of Loss on Loan Portfolio. Technical Report, KMV Corporation.
25. Virolainen, K., 2004. Macro Stress Testing with a Macroeconomic Credit Risk Model for Finland, Bank of Finland Discussion Paper No. 18.
26. Wilson T.C. Portfolio credit risk (I). Risk 1997, 10:56-61.
27. Wilson T.C. Portfolio credit risk (II). Risk 1997, 10:111-117.
28. Wong J.H.Y., Choi K.F., Fong P.W. A framework for stress-testing banks' credit risk. Journal of Risk Model Validation 2008, 2:3-23.