Chappuis Halder & Cie: Dynamic Stress Test Diffusion Model Considering The Credit Score Performance

After the 2008 crisis, regulators identified many shortcomings in both regulatory requirements as well as internal risk management practices. As a consequence, regulators conducted massive stress testing exercises in Europe (with the Asset Quality Review and the stress testing exercises for which the results were published late October 2014) and in North America (with the CCAR exercise). The purposes of these exercises is to make sure that in times of stress (similar to those of 2008), banks

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