Forecasting credit card portfolio losses in the Great Recession: a study in model risk
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References listed on IDEAS
- Sueyoshi, Glenn T, 1995. "A Class of Binary Response Models for Grouped Duration Data," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 10(4), pages 411-431, Oct.-Dec..
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More about this item
KeywordsCredit cards; Stress test; Credit risk; Regulatory capital;
- G33 - Financial Economics - - Corporate Finance and Governance - - - Bankruptcy; Liquidation
- G32 - Financial Economics - - Corporate Finance and Governance - - - Financing Policy; Financial Risk and Risk Management; Capital and Ownership Structure; Value of Firms; Goodwill
- G20 - Financial Economics - - Financial Institutions and Services - - - General
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-BAN-2014-04-05 (Banking)
- NEP-CFN-2014-04-05 (Corporate Finance)
- NEP-RMG-2014-04-05 (Risk Management)
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