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michal.mackanic
Topic Author
Posts: 1
Joined: October 14th, 2016, 7:09 pm

Credit Stress Testing

April 4th, 2018, 8:09 am

 Hello, currently I am looking around for some papers on credit stress testing of banking book (mainly credit cards, consumer & corporate loans, mortgages, some bonds and simple derivatives like IRS/CIRS, FX swaps, FX forwards and a few caps / floors & swaptions). I would like to stress migration matrix and LGD. Looking around for some useful papers I found (a) "Stress-Testing Probability of Default and Migration Rate with respect to Basel II Requirements" by Miu and Ozdemir from October 2008 (there are plenty other papers that apparently build upon this one => seems to be a kind of "market practice") and (b) "Loss given default as a function of the default rate" by Fry from September 2013 (here the situation is not that clear => there are more quite diverse papers on the topic; I liked this one the most). I wonder if someone of you has some practical experience with the topic and can recommend me some other papers or give me some advice...
Many thx in advance,
Michal