Whitepaper

Dynamic Modelling of CSRBB Shocks: A Vector Autoregression Approach

As European banks adapt to the EBA's evolving CSRBB guidelines, understanding how shocks propagate across maturities is essential. This report offers a deep dive into credit risk modeling using VAR, revealing how disturbances in CDS spreads ripple through sovereign bond markets.

Read the report to learn:

  • Inter-maturity shock dynamics across four major EU economies

  • How to translate IRF results into regulatory shock scenarios

  • Proxy methods for modeling CSRBB in less-liquid markets

Strengthen your balance sheet against credit spread volatility.