Add to ORKGIn this paper, we collect consumer delinquency data from several economic shocks in order to study the creation of stress-testing models. We leverage the dual-time dynamics modeling technique to better isolate macroeconomic impacts whenever vintage-level performance data is available. The stress-testing models follow a framework described here of focusing on consumer-centric macroeconomic variables so that the models are as robust as possible when predicting the impacts of future shocks
Recent economic events pose challenging questions for macroeconomists. The rising global imbalances ...
Because of prevalence of non-performing loans in Iranian banking sector, it is important to estimate...
A Real Business Cycle model of the UK is developed to account for the behaviour of UK nonstationary ...
Stress testing has become an important topic in retail lending since the introduction of the new Bas...
Stress-testing has become an important topic in retail lending since the introduction of the new Bas...
Stress testing has become an important topic in retail lending sincethe introduction of the new Base...
This paper applies a macroeconomic-based model for estimating de-fault probabilities on Dutch data. ...
In this thesis, I investigate effective predictors for corporate defaults and measurement of economi...
In the aftermath of the recent financial crisis, the way credit risk is affected by and affects the...
he purpose of aggregate-level stress testing is to identify the circumstances that could impair the ...
This paper proposes a probabilistic model based on comovements and nonlinearities useful to assess t...
The goal of the paper is to investigate whether the behavior of a DSGE model changes as crisis data ...
The main goal of empirical macroeconomics is to understand the relationships between macroeconomic v...
Motivated by the frictions found in the theoretical literature on the credit channel of monetary pol...
The preceding sections have predominantly focused on the antecedents of financial crises. Namely, t...
Recent economic events pose challenging questions for macroeconomists. The rising global imbalances ...
Because of prevalence of non-performing loans in Iranian banking sector, it is important to estimate...
A Real Business Cycle model of the UK is developed to account for the behaviour of UK nonstationary ...
Stress testing has become an important topic in retail lending since the introduction of the new Bas...
Stress-testing has become an important topic in retail lending since the introduction of the new Bas...
Stress testing has become an important topic in retail lending sincethe introduction of the new Base...
This paper applies a macroeconomic-based model for estimating de-fault probabilities on Dutch data. ...
In this thesis, I investigate effective predictors for corporate defaults and measurement of economi...
In the aftermath of the recent financial crisis, the way credit risk is affected by and affects the...
he purpose of aggregate-level stress testing is to identify the circumstances that could impair the ...
This paper proposes a probabilistic model based on comovements and nonlinearities useful to assess t...
The goal of the paper is to investigate whether the behavior of a DSGE model changes as crisis data ...
The main goal of empirical macroeconomics is to understand the relationships between macroeconomic v...
Motivated by the frictions found in the theoretical literature on the credit channel of monetary pol...
The preceding sections have predominantly focused on the antecedents of financial crises. Namely, t...
Recent economic events pose challenging questions for macroeconomists. The rising global imbalances ...
Because of prevalence of non-performing loans in Iranian banking sector, it is important to estimate...
A Real Business Cycle model of the UK is developed to account for the behaviour of UK nonstationary ...