Stress testing credit risk: a survey of authorities' approaches
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- Schuermann, Til, 2014. "Stress testing banks," International Journal of Forecasting, Elsevier, vol. 30(3), pages 717-728.
- FARAYIBI, Adesoji, 2016. "Stress Testing in the Nigerian Banking Sector," MPRA Paper 73615, University Library of Munich, Germany.
- Eftychia Nikolaidou & Sofoklis Vogiazas, 2014. "Credit Risk Determinants for the Bulgarian Banking System," International Advances in Economic Research, Springer;International Atlantic Economic Society, vol. 20(1), pages 87-102, February.
- Varotto, Simone, 2012. "Stress testing credit risk: The Great Depression scenario," Journal of Banking & Finance, Elsevier, vol. 36(12), pages 3133-3149.
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KeywordsMacro stress testing; financial stability; macro-prudential analysis; credit risk; probability of default;
- E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles
- E37 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Forecasting and Simulation: Models and Applications
- G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2009-01-10 (All new papers)
- NEP-BAN-2009-01-10 (Banking)
- NEP-FMK-2009-01-10 (Financial Markets)
- NEP-MAC-2009-01-10 (Macroeconomics)
- NEP-RMG-2009-01-10 (Risk Management)
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