Modelling Scenario Analysis and Macro Stress-testing
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More about this item
Keywordsbanking; financial stability; stress-tests; credit risk; interest rate risk;
- C33 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Models with Panel Data; Spatio-temporal Models
- E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy
- 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-2006-12-16 (All new papers)
- NEP-BAN-2006-12-16 (Banking)
- NEP-CMP-2006-12-16 (Computational Economics)
- NEP-MAC-2006-12-16 (Macroeconomics)
- NEP-RMG-2006-12-16 (Risk Management)
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