Stress-testing banks’ corporate credit portfolio
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- O. de Bandt & N. Dumontaux & V. Martin & D. Médée, 2013. "Stress-testing banks’ corporate credit portfolio," Débats économiques et financiers 2, Banque de France.
References listed on IDEAS
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- C. Labonne & C. Welter-Nicol, 2015. "MERCURE : Cheap Credit, Unaffordable Houses?," Débats économiques et financiers 20, Banque de France.
- B. Camara & F.-D. Castellani & H. Fraisse & L. Frey & C. Héam & L. Labonne & V. Martin, 2015. "MERCURE : A Macroprudential Stress Testing Model developed at the ACPR," Débats économiques et financiers 19, Banque de France.
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More about this item
Keywords
credit risk; corporate; stress tests; migration matrices.;All these keywords.
JEL classification:
- G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages
- 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
- E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy
NEP fields
This paper has been announced in the following NEP Reports:- NEP-BAN-2014-10-22 (Banking)
- NEP-MAC-2014-10-22 (Macroeconomics)
- NEP-RMG-2014-10-22 (Risk Management)
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