This paper reviews the state-of-the-art of macro stress-testing methodologies. Substantial
progress has been made both in the econometric analysis of financial soundness indicators …

Procyclicality has emerged as a potential drawback to adoption of risk-sensitive bank capital
requirements. Systematic risk factors may result in increases (decreases) in bank capital …

Spreads on corporate bonds tend to be many times wider than what would be implied by
expected default losses alone. These spreads are the difference between yields on …

We survey both academic and proprietary models to examine how macroeconomic and
systematic risk effects are incorporated into measures of credit risk exposure. Many models …

Using a comprehensive and unique data set from Moody's, we examine correlations
between default risk for over 7,000 US public firms. This is the first paper to empirically …

The NORTA method is a fast general-purpose method for generating samples of a random
vector with given marginal distributions and given correlation matrix. It is known that there …

Integrated assessment models that combine geophysics and economics features are often
used to evaluate and compare global warming policies. Because there are typically …

Featuring contributions from leading international academics and practitioners, Credit Risk:
Models, Derivatives, and Management illustrates how a risk management system can be …

Abstract Brunnermeier et al.(2017) propose the introduction of sovereign bond-backed
securities (SBBS) in the euro area. It and other papers address how the securitisation would …

Generating multivariate random vectors is a crucial part of the input analysis involved in
discrete-event stochastic simulation modeling of multivariate systems. The NORmal-To …