The  overview differentiates between expected loss (credit losses that would be projected to occur even under a stable baseline), unexpected loss (losses that might occur under a stressful but plausible event such as recession) and catastrophic loss (losses beyond those of an unexpected loss and that are deemed highly unlikely to occur).
In that spirit, I will concentrate my remaining remarks on some on-going developments in the specification of macroeconomic models at the ECB. Desirable properties of policy models Macroeconomic models can be used for a variety of purposes in central banks. They are helpful to articulate relationships between certain variables of interest in a systematic fashion, while ensuring that resource constraints are respected.