Template-Type: ReDIF-Paper 1.0

Title: Probability of Default (PD) Under Systemic Stress Scenarios

Author-Name: Reza Habibi

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.

Classification-JEL: C63, G21, G28, G32, G33.
Keywords: Climate crisis scenario, Credit risk, Monte Carlo, Stress test, Systemic risk.

Creation-Date: 2026-01-07

File-URL: http://www.eeri.eu/documents/wp/EERI_RP_2026_07.pdf
File-Format: Application/pdf

Number: EERI RP 2026/07
Handle: RePEc:eei:rpaper:EERI_RP_2026_07