“…Many papers (Kanas & Molyneux, 2018;Schechtman & Gaglianone, 2012;Vazquez, Tabak, & Souto, 2012) perform macro stress tests with aggregate data at the system level or with data of groups of financial institutions. Some (Bangia, Diebold, Kronimus, Schagen, & Schuermann, 2002;Bellotti & Crook, 2013, 2014Breeden, 2016;Ju et al, 2015;Pesaran, Schuermann, Treutler, & Weiner, 2006) implement micro stress testing methods with granular data at an individual account, portfolio or institution level. Studies find that increases in output growth tend to reduce credit risk (Bikker & Hu, 2002;Laeven & Majnoni, 2003;Sorge & Virolainen, 2006), whereas rises in interest rate or unemployment tend to increase credit risk (Bellotti & Crook, 2013;Bikker & Hu, 2002;Pesaran et al, 2006).…”