Economic and financial debates no. 2: Stress-testing banks’ corporate credit portfolio

The paper describes the methods used by the French Banking Supervision Authority (ACP) to run stress tests for the corporate credit portfolio, through credit migration matrices (or transition matrices). This approach is currently used for “top-down” stress tests exercises. Developed for
Basel II, it is still relevant under the Basel III framework. It includes sufficient flexibility to accommodate the severe crisis period observed recently.

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Economic and financial debates no. 2: Stress-testing banks’ corporate credit portfolio
  • Published on 03/20/2013
  • FR
  • PDF (626.78 KB)
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Updated on: 03/19/2019 15:47