Assessing portfolio credit risk changes in a sample of EU large and complex banking groups in reaction to macroeconomic shocks
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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.
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- repec:eee:ecmode:v:68:y:2018:i:c:p:41-50 is not listed on IDEAS
More about this item
Keywordsmacroeconomic shock measurement; Portfolio credit risk measurement; stress testing;
- C02 - Mathematical and Quantitative Methods - - General - - - Mathematical Economics
- C19 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Other
- C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation, Validation, and Selection
- C61 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Optimization Techniques; Programming Models; Dynamic Analysis
- E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2009-08-08 (All new papers)
- NEP-BAN-2009-08-08 (Banking)
- NEP-MAC-2009-08-08 (Macroeconomics)
- NEP-REG-2009-08-08 (Regulation)
- NEP-RMG-2009-08-08 (Risk Management)
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