Guillaume Flament, Christophe Hurlin, Quentin Lajaunie, Yoann Pull
arXiv 5 Aug 2026 · Econometrics
arXiv:2608.04469 · PDF · Extracted main text
Credit stress testing requires impulse responses of portfolio default probabilities, not only macro-financial drivers. We derive closed-form generalized impulse responses for the mean, quantiles (PD-at-Risk), and expected shortfall in a modular framework combining a Bayesian VAR, a Gaussian satellite, and the Merton-Vasicek model underlying Basel IRB regulation. Results extend to any probit-Gaussian mapping of a latent factor. Nonlinearity makes responses depend on conditional means and variances; plug-in evaluations understate projected default probability levels by 6-8% and miss tail quantiles. For U.S. geopolitical risk shocks, 99%-quantile responses exceed mean responses by 50%, and peak responses vary 4.6-fold across the credit cycle.
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The works this paper leans on most, across its whole bibliography — not restricted to papers in our corpus. Ranked by composite intensity, which combines how often a work is mentioned, how many sections mention it, and how much of that falls in the main text rather than the appendix.
| Reference | Intensity | Mentions | Sections | Main text | |
|---|---|---|---|---|---|
| 1 | Caldara, Dario and Iacoviello, Matteo (2022) Measuring Geopolitical Risk | 0.843 | 10 | 4 | 60% |
| 2 | European Banking Authority (2025) Methodological Note for the 2025 EU-Wide Stress Test | 0.737 | 3 | 2 | 100% |
| 3 | Gordy, Michael B (2003) A Risk-Factor Model Foundation for Ratings-Based Bank Capital Rules | 0.737 | 3 | 2 | 100% |
| 4 | Basel Committee on Banking Supervision (2019) Minimum Capital Requirements for Market Risk | 0.644 | 2 | 2 | 100% |
| 5 | Chavleishvili, Sulkhan and Manganelli, Simone (2024) Forecasting and Stress Testing with Quantile Vector Autoregression | 0.644 | 2 | 2 | 100% |
| 6 | Fornari, Fabio and Lemke, Wolfgang (2010) Predicting Recession Probabilities with Financial Variables over Multiple Horizons | 0.644 | 2 | 2 | 100% |
| 7 | Acerbi, Carlo and Tasche, Dirk (2002) On the Coherence of Expected Shortfall | 0.644 | 2 | 2 | 100% |
| 8 | Adrian, Tobias and Boyarchenko, Nina and Giannone, Domenico (2019) Vulnerable Growth | 0.644 | 2 | 2 | 100% |
| 9 | Koop, Gary and Pesaran, M. Hashem and Potter, Simon M (1996) Impulse Response Analysis in Nonlinear Multivariate Models | 0.644 | 2 | 2 | 100% |
| 10 | Merton, Robert C (1974) On the Pricing of Corporate Debt: The Risk Structure of Interest Rates | 0.644 | 2 | 2 | 100% |
Showing the top 10 of 36 scored citations.