A systematic approach to multi-period stress testing of portfolio credit risk
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- Thomas Breuer & Martin Jandačka & Javier Mencía & Martin Summer, 2010. "A systematic approach to multi-period stress testing of portfolio credit risk," Working Papers 1018, Banco de España;Working Papers Homepage.
References listed on IDEAS
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CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
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More about this item
KeywordsStress testing; Credit risk; Worst case search; Maximum loss;
- G28 - Financial Economics - - Financial Institutions and Services - - - Government Policy and Regulation
- G32 - Financial Economics - - Corporate Finance and Governance - - - Financing Policy; Financial Risk and Risk Management; Capital and Ownership Structure; Value of Firms; Goodwill
- G20 - Financial Economics - - Financial Institutions and Services - - - General
- C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Statistical Simulation Methods: General
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