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Loss coverage and stress testing mortgage portfolios: A non-parametric approach

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  • Rodriguez, Adolfo
  • Trucharte, Carlos

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  • Rodriguez, Adolfo & Trucharte, Carlos, 2007. "Loss coverage and stress testing mortgage portfolios: A non-parametric approach," Journal of Financial Stability, Elsevier, vol. 3(4), pages 342-367, December.
  • Handle: RePEc:eee:finsta:v:3:y:2007:i:4:p:342-367
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    1. Engelmann, Bernd & Hayden, Evelyn & Tasche, Dirk, 2003. "Measuring the Discriminative Power of Rating Systems," Discussion Paper Series 2: Banking and Financial Studies 2003,01, Deutsche Bundesbank.
    2. anonymous, 2005. "Monetary policy report to the Congress," Federal Reserve Bulletin, Board of Governors of the Federal Reserve System (U.S.), issue Spr, pages 117-142.
    3. anonymous, 2005. "The implementation of monetary policy," Monograph, Board of Governors of the Federal Reserve System (U.S.), number 2005tiom.
    4. Marco Alfò & Stefano Caiazza & Giovanni Trovato, 2005. "Extending a Logistic Approach to Risk Modeling through Semiparametric Mixing," Journal of Financial Services Research, Springer;Western Finance Association, vol. 28(1), pages 163-176, October.
    5. Mark Carey, 2001. "Dimensions of Credit Risk and Their Relationship to Economic Capital Requirements," NBER Chapters,in: Prudential Supervision: What Works and What Doesn't, pages 197-232 National Bureau of Economic Research, Inc.
    6. David B. Gross, 2002. "An Empirical Analysis of Personal Bankruptcy and Delinquency," Review of Financial Studies, Society for Financial Studies, vol. 15(1), pages 319-347, March.
    7. Hanson, Samuel & Schuermann, Til, 2006. "Confidence intervals for probabilities of default," Journal of Banking & Finance, Elsevier, vol. 30(8), pages 2281-2301, August.
    8. Calem, Paul S. & LaCour-Little, Michael, 2004. "Risk-based capital requirements for mortgage loans," Journal of Banking & Finance, Elsevier, vol. 28(3), pages 647-672, March.
    9. Krahnen, Jan Pieter & Weber, Martin, 2001. "Generally accepted rating principles: A primer," Journal of Banking & Finance, Elsevier, vol. 25(1), pages 3-23, January.
    10. Maria Soledad Martinez Peria & Giovanni Majnoni & Matthew T Jones & Winfrid Blaschke, 2001. "Stress Testing of Financial Systems; An Overview of Issues, Methodologies, and FSAP Experiences," IMF Working Papers 01/88, International Monetary Fund.
    11. Mark Carey, 1998. "Credit Risk in Private Debt Portfolios," Journal of Finance, American Finance Association, vol. 53(4), pages 1363-1387, August.
    12. John Whitley & Richard Windram & Prudence Cox, 2004. "An empirical model of household arrears," Bank of England working papers 214, Bank of England.
    13. Paraskevi Dimou & Colin Lawrence & Alistair Milne, 2005. "Skewness of Returns, Capital Adequacy, and Mortgage Lending," Journal of Financial Services Research, Springer;Western Finance Association, vol. 28(1), pages 135-161, October.
    14. anonymous, 2005. "Monetary policy report to the Congress," Federal Reserve Bulletin, Board of Governors of the Federal Reserve System (U.S.), issue Sum, pages 319-343.
    15. anonymous, 2005. "Monetary policy and the economy," Monograph, Board of Governors of the Federal Reserve System (U.S.), number 2005mpat.
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    Cited by:

    1. Fischer, Jack R. & McPhail, Joseph E. & Rodrigues, Nathan & Orazem, Peter, 2017. "The Relative Importance of Macroeconomic Shocks, Regional Shocks and Idiosyncratic Risk on Large and Small Banks," ISU General Staff Papers 201707130700001027, Iowa State University, Department of Economics.
    2. Ferrer, Alex & Casals, José & Sotoca, Sonia, 2015. "Sample dependency during unconditional credit capital estimation," Finance Research Letters, Elsevier, vol. 15(C), pages 175-186.
    3. Siemsen, Thomas & Vilsmeier, Johannes, 2017. "A stress test framework for the German residential mortgage market: Methodology and application," Discussion Papers 37/2017, Deutsche Bundesbank.
    4. Carlos Perez Montes, 2015. "Estimation of Regulatory Credit Risk Models," Journal of Financial Services Research, Springer;Western Finance Association, vol. 48(2), pages 161-191, October.
    5. Ferrer, Alex & Casals, José & Sotoca, Sonia, 2015. "Capital cyclicality, conditional coverage and long-term capital assessment," Finance Research Letters, Elsevier, vol. 15(C), pages 246-256.
    6. Vazquez, Francisco & Tabak, Benjamin M. & Souto, Marcos, 2012. "A macro stress test model of credit risk for the Brazilian banking sector," Journal of Financial Stability, Elsevier, vol. 8(2), pages 69-83.
    7. Carlos Pérez Montes, 2013. "Estimation of Regulatory Credit Risk Models," Working Papers 1305, Banco de España;Working Papers Homepage.
    8. Ferrer, Alex & Casals, José & Sotoca, Sonia, 2016. "Efficient estimation of unconditional capital by Monte Carlo simulation," Finance Research Letters, Elsevier, vol. 16(C), pages 75-84.
    9. Jonathan Crook & Tony Bellotti, 2010. "Time varying and dynamic models for default risk in consumer loans," Journal of the Royal Statistical Society Series A, Royal Statistical Society, vol. 173(2), pages 283-305.

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