2 papers
econ.EM2026
Generalized Impulse Responses of Portfolio Default Probabilities: A Modular Framework with an Application to Geopolitical Risk
Guillaume Flament, Christophe Hurlin, Quentin Lajaunie +1
Credit stress testing requires impulse responses of portfolio default probabilities, not only macro-financial drivers. We derive closed-form generalized impulse responses for the m…
econ.EM2026
Reverse Stress Testing Geopolitical Risk in Corporate Credit Portfolios: A Formal and Operational Framework
Christophe Hurlin, Quentin Lajaunie, Yoann Pull
This paper proposes a formal framework for reverse stress testing geopolitical risk in corporate credit portfolios. A joint macro-financial scenario vector, augmented with an expli…