Macro stress testing with a macroeconomic credit risk model: Application to the French manufacturing sector
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References listed on IDEAS
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CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Grundke, Peter & Pliszka, Kamil, 2015. "A macroeconomic reverse stress test," Discussion Papers 30/2015, Deutsche Bundesbank.
- Patrick Fève & Julien Matheron & Jean-Guillaume Sahuc, 2009.
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- Morone, Marco & Cornaglia, Anna, 2010. "An econometric model to quantify benchmark downturn LGD on residential mortgages," MPRA Paper 25588, University Library of Munich, Germany.
More about this item
Keywordsmacro stress test ; credit risk model ; loss distribution.;
- G32 - Financial Economics - - Corporate Finance and Governance - - - Financing Policy; Financial Risk and Risk Management; Capital and Ownership Structure; Value of Firms; Goodwill
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
- C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2009-07-17 (All new papers)
- NEP-CMP-2009-07-17 (Computational Economics)
- NEP-EEC-2009-07-17 (European Economics)
- NEP-MAC-2009-07-17 (Macroeconomics)
- NEP-RMG-2009-07-17 (Risk Management)
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