A systematic approach to multi-period stress testing of portfolio credit risk
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- Breuer, Thomas & Jandačka, Martin & Mencía, Javier & Summer, Martin, 2012. "A systematic approach to multi-period stress testing of portfolio credit risk," Journal of Banking & Finance, Elsevier, vol. 36(2), pages 332-340.
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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
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2010-07-03 (All new papers)
- NEP-BAN-2010-07-03 (Banking)
- NEP-CFN-2010-07-03 (Corporate Finance)
- NEP-CMP-2010-07-03 (Computational Economics)
- NEP-FMK-2010-07-03 (Financial Markets)
- NEP-RMG-2010-07-03 (Risk Management)
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