Probability of Default (PD) Under Systemic Stress Scenarios

Reza Habibi

EERI Research Paper Series from Economics and Econometrics Research Institute (EERI), Brussels

Abstract: Systemic risk has essential impact on of a firm. In the current paper, under scenario of systemic crisis, the behavior of credit risk measure is studied and its relation to market and climate betas are proposed. Then, optimum leverage ratio and prudential coefficient are derived. Finally, using the Mote Carlo simulation method, stress tests of risk measure under systemic risk crisis event is studied. It is seen that changes throughout changing capital structure, leverage ratio, systemic risk index, market and climate betas.

Keywords: Climate crisis scenario; Credit risk; Monte Carlo; Stress test; Systemic risk. (search for similar items in EconPapers)
JEL-codes: C63 G21 G28 G32 G33 (search for similar items in EconPapers)
Date: 2026-01-07
New Economics Papers: this item is included in nep-cfn
References: Add references at CitEc
Citations:

Downloads: (external link)
http://www.eeri.eu/documents/wp/EERI_RP_2026_07.pdf (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eei:rpaper:eeri_rp_2026_07

Access Statistics for this paper

More papers in EERI Research Paper Series from Economics and Econometrics Research Institute (EERI), Brussels Contact information at EDIRC.
Bibliographic data for series maintained by Julia van Hove ().