Least Impulse Response Estimator for Stress Test Exercises
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- Gourieroux, Christian & Lu, Yang, 2019. "Least impulse response estimator for stress test exercises," Journal of Banking & Finance, Elsevier, vol. 103(C), pages 62-77.
- Christian Gourieroux & Yang Lu, 2019. "Least Impulse Response Estimator for Stress Test Exercises," CEPN Working Papers 2019-05, Centre d'Economie de l'Université de Paris Nord.
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More about this item
KeywordsBasel Regulation; Stress Test; (Expected) Loss-Given-Default; Impulse Response; Credit Scoring; Pseudo-Maximum Likelihood; LIR Estimation; Beta Regression; Moebius Transformation;
- C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
- G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages
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