Comparison of stress testing models for regulatory purposes by institutions using the IRBA method
Author:
Publisher
Prague University of Economics and Business
Subject
General Medicine
Link
http://cfuc.vse.cz/doi/10.18267/j.cfuc.516.pdf
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1. Macroeconomic Stress-Testing of Mortgage Default Rate Using a Vector Error Correction Model and Entropy Pooling
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3. Applying Stress-Testing On Value at Risk (VaR) Methodologies;DOMINGUEZ;Investment Management and Financial Innovations,2004
4. Modelling scenario analysis and macro stress-testing;END,2006
5. Stress Testing Credit Risk: A Survey of Authorities' Approaches
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