What are good ways of measuring stressed credit risk specifically?

I know usually we just "stress" all market conditions, but are there credit-risk specific things we can do?

Or is it just a matter of bumping the spread on top of yield curves when valuating our instruments, or e.g. increasing the probability of default by a fixed amount?

I am interested in traded credit risk, e.g. bond issuers, derivative counterparties, etc.

  • $\begingroup$ Hi James, could you please state whether you are talking traded credit, e.g. bonds, or non-traded credit, e.g. a loan? I.e.: What is your desired application? Thanks $\endgroup$ – Kermittfrog Dec 17 '20 at 9:32

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