Model and estimation risk in credit risk stress tests-Reference-Cited by-同舟云学术

Model and estimation risk in credit risk stress tests

Published:2019-10-22 Issue:1 Volume:55 Page:163-199
ISSN:0924-865X
Container-title:Review of Quantitative Finance and Accounting
language:en
Short-container-title:Rev Quant Finan Acc

Author:

Grundke Peter,Pliszka Kamil,Tuchscherer Michael^ORCID

Publisher

Springer Science and Business Media LLC

Subject

Finance,General Business, Management and Accounting,Accounting

Link

http://link.springer.com/content/pdf/10.1007/s11156-019-00840-5.pdf

Reference59 articles.

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2. Aldrich J, Nelson F (1984) Linear probability, logit, and probit models. Sage Publications, Beverly Hills

3. Banque de France (2009) Macro stress testing with a macroeconomic credit risk model: application to the French manufacturing sector. Document de travail No. 238

4. Basel Committee on Banking Supervision (BCBS) (2014) Reducing excessive variability in banks’ regulatory capital ratios. Bank for International Settlements

5. Behn M, Haselmann R, Vig V (2016) The limits of model-based regulation. ECB working paper no. 1928

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