The Distribution of Losses in Credit to Non-Financial Firms
Author
Abstract
Suggested Citation
Download full text from publisher
References listed on IDEAS
- Virolainen, Kimmo, 2004. "Macro stress testing with a macroeconomic credit risk model for Finland," Research Discussion Papers 18/2004, Bank of Finland.
Most related items
These are the items that most often cite the same works as this one and are cited by the same works as this one.- Pawel Siarka, 2012. "Implementation of the Stress Test Methods in the Retail Portfolio," Journal of Applied Finance & Banking, SCIENPRESS Ltd, vol. 2(6), pages 1-2.
- Peter Grundke & Kamil Pliszka, 2018.
"A macroeconomic reverse stress test,"
Review of Quantitative Finance and Accounting, Springer, vol. 50(4), pages 1093-1130, May.
- Grundke, Peter & Pliszka, Kamil, 2015. "A macroeconomic reverse stress test," Discussion Papers 30/2015, Deutsche Bundesbank.
- Kyriakos Georgiou & Athanasios N. Yannacopoulos, 2023. "Probability of Default modelling with L\'evy-driven Ornstein-Uhlenbeck processes and applications in credit risk under the IFRS 9," Papers 2309.12384, arXiv.org.
- Morone, Marco & Cornaglia, Anna, 2010. "An econometric model to quantify benchmark downturn LGD on residential mortgages," MPRA Paper 25588, University Library of Munich, Germany.
- Pejman Peykani & Mostafa Sargolzaei & Camelia Oprean-Stan & Hamidreza Kamyabfar & Atefeh Reghabi, 2025. "The effect of macroeconomic shocks on non-performing loans and credit risk in the iranian banking system using time-varying parameter vector autoregressions," PLOS ONE, Public Library of Science, vol. 20(8), pages 1-22, August.
- Jokivuolle, Esa & Virolainen, Kimmo & Vähämaa, Oskari, 2008. "Macro-model-based stress testing of Basel II requirements," Bank of Finland Research Discussion Papers 17/2008, Bank of Finland.
- Paolo Guarda & Abdelaziz Rouabah & John Theal, 2011.
"An MVAR Framework to Capture Extreme Events in Macroprudential Stress Tests,"
BCL working papers
63, Central Bank of Luxembourg.
- Guarda, Paolo & Rouabah, Abdelaziz & Theal, John, 2012. "An MVAR framework to capture extreme events in macro-prudential stress tests," Working Paper Series 1464, European Central Bank.
- 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.
- Francisco Vazquez & Benjamin M. Tabak & Marcos Souto, 2010. "A Macro Stress Test Model of Credit Risk for the Brazilian Banking Sector," Working Papers Series 226, Central Bank of Brazil, Research Department.
- Zuzana Fungacova & Petr Jakubik, 2013.
"Bank Stress Tests as an Information Device for Emerging Markets: The Case of Russia,"
Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, vol. 63(1), pages 87-105, March.
- Zuzana Fungáèová & Petr Jakubík, 2012. "Bank Stress Tests as an Information Device for Emerging Markets: The Case of Russia," Working Papers IES 2012/04, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies, revised Feb 2012.
- Fungáčová, Zuzana & Jakubik, Petr, 2012. "Bank stress tests as an information device for emerging markets : The case of Russia," BOFIT Discussion Papers 3/2012, Bank of Finland, Institute for Economies in Transition.
- Abdelaziz Rouabah, 2007. "Mesure de la vulnérabilité du secteur bancaire luxembourgeois," BCL working papers 24, Central Bank of Luxembourg.
- Csaba BÁLINT, 2022. "Sectorial Price Shock Propagation via Input-Output Linkages," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(4), pages 21-40, December.
- Noel D'Cruz & Davide Crippa, 2012. "Stress Testing," Global Credit Review (GCR), World Scientific Publishing Co. Pte. Ltd., vol. 2(01), pages 39-52.
- Ruja, Catalin, 2014. "Macro Stress-Testing Credit Risk in Romanian Banking System," MPRA Paper 58244, University Library of Munich, Germany.
- Åsberg Sommar, Per & Shahnazarian, Hovick, 2008. "Macroeconomic Impact on Expected Default Frequency," Working Paper Series 219, Sveriges Riksbank (Central Bank of Sweden).
- International Association of Deposit Insurers, 2011. "Evaluation of Deposit Insurance Fund Sufficiency on the Basis of Risk Analysis," IADI Research Papers 11-11, International Association of Deposit Insurers.
- Jan Willem van den End & Marco Hoeberichts & Mostafa Tabbae, 2006. "Modelling Scenario Analysis and Macro Stress-testing," DNB Working Papers 119, Netherlands Central Bank, Research Department.
- Suvanto, Antti & Hukkinen, Juhana, 2004.
"Stable price level and changing prices,"
Bank of Finland Research Discussion Papers
28/2004, Bank of Finland.
- Antti Suvanto & Juhana Hukkinen, 2005. "Stable price level and changing prices," Macroeconomics 0508034, University Library of Munich, Germany.
- Puhakka, Mikko, 2004. "Equilibrium dynamics under lump-sum taxation in an exchange economy with skewed endowments," Research Discussion Papers 29/2004, Bank of Finland.
- Petr Jakubik, 2008. "Credit risk and stress testing of the Czech Banking Sector," ACTA VSFS, University of Finance and Administration, vol. 2(1), pages 107-123.
- Suvanto, Antti & Hukkinen, Juhana, 2004. "Stable price level and changing prices," Research Discussion Papers 28/2004, Bank of Finland.
Corrections
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:ptu:bdpart:ar200603. See general information about how to correct material in RePEc.
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: DEE-NTD (email available below). General contact details of provider: https://edirc.repec.org/data/bdpgvpt.html .
Please note that corrections may take a couple of weeks to filter through the various RePEc services.
Printed from https://ideas.repec.org/a/ptu/bdpart/ar200603.html