Cyclicality in Losses on Bank Loans
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More about this item
KeywordsLoss-given-default; default rates; credit risk; capital requirements; dynamic factor models;
- 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
- C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics
- G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages
- G33 - Financial Economics - - Corporate Finance and Governance - - - Bankruptcy; Liquidation
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2015-05-16 (All new papers)
- NEP-BAN-2015-05-16 (Banking)
- NEP-CFN-2015-05-16 (Corporate Finance)
- NEP-RMG-2015-05-16 (Risk Management)
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