Stress Testing Banks' Credit Risk Using Mixture Vector Autoregressive Models
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References listed on IDEAS
- Markku Lanne & Pentti Saikkonen, 2003.
"Modeling the U.S. Short-Term Interest Rate by Mixture Autoregressive Processes,"
Journal of Financial Econometrics,
Society for Financial Econometrics, vol. 1(1), pages 96-125.
- Lanne, Markku & Saikkonen, Pentti, 2000. "Modeling the US short-term interest rate by mixture autoregressive processes," SFB 373 Discussion Papers 2000,76, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
- Markku Lanne & Pentti Saikkonen, 2001. "Modeling the U.S. Short-Term Interest Rate by Mixture Autoregressive Processes," CeNDEF Workshop Papers, January 2001 PO5, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance.
- Armando Méndez Morales & Jose Giancarlo Gasha, 2004. "Identifying Threshold Effects in Credit Risk Stress Testing," IMF Working Papers 04/150, International Monetary Fund.
- Berchtold, Andre, 2003. "Mixture transition distribution (MTD) modeling of heteroscedastic time series," Computational Statistics & Data Analysis, Elsevier, vol. 41(3-4), pages 399-411, January.
- Marco Sorge, 2004. "Stress-testing financial systems: an overview of current methodologies," BIS Working Papers 165, Bank for International Settlements.
CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Sergio Edwin Torrico Salamanca, 2014. "Macro credit scoring as a proposal for quantifying credit risk," Investigación & Desarrollo 0814, Universidad Privada Boliviana, revised Nov 2014.
- Alfred Wong & Tom Fong, 2013. "Gauging the Safehavenness of Currencies," Working Papers 132013, Hong Kong Institute for Monetary Research.
More about this item
KeywordsStress test; Hong Kong Banking; Credit risk; Mixture autoregressive models; Macroeconomic shocks; Value-at-risk.;
- C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Statistical Simulation Methods: General
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
- C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
- E37 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Forecasting and Simulation: Models and Applications
- 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-2009-01-03 (All new papers)
- NEP-BAN-2009-01-03 (Banking)
- NEP-MAC-2009-01-03 (Macroeconomics)
- NEP-RMG-2009-01-03 (Risk Management)
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