These are all the papers that have a JEL assignment (not all authors have given JEL codes to their papers) and that include the E37 classification. (sorted by date) The Role of Stress Testing in Credit Risk Management
by Roger M. Stein of the Moody's Research Labs
(272K PDF) -- 20 pages -- June 15, 2011 Macro Stress-Testing on the Loan Portfolio of Japanese Banks
by Akira Otani of the Bank of Japan,
Shigenori Shiratsuka of the Bank of Japan,
Ryoko Tsurui of the Bank of Japan, and
Takeshi Yamada of the Bank of Japan
(206K PDF) -- 34 pages -- March 2009 Modeling the Distribution of Credit Losses with Observable and Latent Factors
by Gabriel Jiménez of the Bank of Spain, and
Javier Mencía of the Bank of Spain
(498K PDF) -- 93 pages -- March 2007
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