Hi,Let's say I have a portfolio of variable-rate mortgages and I want to stress test this portfolio in response to a changing interest rate environment via Monte Carlo simulations.My idea is to fit the base interest rate to a stochastic process of choice (say, CIR), estimate the parameters in the real world, and simulate accordingly. Other factors are also considered (unemployment, HPI, etc), but that is not relevant here.Am I correct to say that the simulation should happen in the real world, and not in the risk-neutral world? We are not pricing any derivative instruments here, merely looking at default rates for the portfolio over a given time horizon.Now, let's say my portfolio also has some interest rate derivative instruments used to hedge against the losses, thus requiring risk-neutral simulations. This is the same "base" interest rate as in the first part. Would I have to simulate the interest rate process in two forms, real (for credit losses) and risk-neutral (for instrument pricing?)Thanks,GTI