In this paper, we are interested in evaluating the resilience of financial portfolios under extreme economic conditions. Therefore, we use empirical measures to characterize the transmission process of macroeconomic shocks to risk parameters. We propose the use of an extensive family of models, called General Transfer Function Models, which condense well the characteristics of the transmission described by the impact measures. The procedure for estimating the parameters of these models is described employing the Bayesian approach and using the prior information provided by the impact measures. In addition, we illustrate the use of the estimated models from the credit risk data of a portfolio.

中文翻译：

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宏观经济冲击对风险参数的传递：它们在压力测试中的应用

在本文中，我们对评估极端经济条件下金融投资组合的弹性感兴趣。因此，我们使用实证措施来表征宏观经济冲击对风险参数的传递过程。我们建议使用一个广泛的模型系列，称为通用传递函数模型，它很好地浓缩了影响测量描述的传输特性。使用贝叶斯方法并使用影响措施提供的先验信息描述了估计这些模型参数的过程。此外，我们还说明了对投资组合信用风险数据的估计模型的使用。