Stress-testing has become an important topic in retail lending since the introduction of the new Basel II guidelines. Here we use a scenario-based forecasting approach developed explicitly for retail lending in order to provide a suitable stress-testing approach. We first decompose the historical vintage performance data into a maturation function of months-on-books, a quality function of vintage origination date and an exogenous function of calendar date. In a second step, the exogenous function is modeled with macroeconomic data or factors representing portfolio management impacts. Stress tests are performed by extrapolating the exogenous function using externally provided scenarios for extreme macroeconomic events. The resulting scenario...
This thesis discusses a number of potential applications for macro stress tests while focusing on th...
The financial crisis of 2007-2008 was a severe global crisis causing a worldwide recession. One of t...
Stress testing is a simulation technique to evaluate portfolio reactions to several critical situati...
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...
We propose a new method for analysing multiperiod stress scenarios for portfolio credit risk more sy...
In this paper, we collect consumer delinquency data from several economic shocks in order to study t...
Financial institutions are faced with the challenge to forecast future credit portfolio losses. It i...
Macro stress-testing has become an important tool to assess financial stability. This paper describe...
Abstract Article refers to the issue of credit risk management in commercial banks. Particular atten...
This paper presents a tractable and empirically sound technique for generating stressed probabilitie...
Amid instability of financial markets and macroeconomic situation the necessity of improving bank ri...
In this thesis, we construct a portfolio of commodity futures, which mimics the Dow Jones Commodity ...
The paper develops a comprehensive framework for market risk stress testing in internationally acti...
Motivated by a real problem, this study aims to develop models to conduct stress testing on credit c...
This thesis discusses a number of potential applications for macro stress tests while focusing on th...
The financial crisis of 2007-2008 was a severe global crisis causing a worldwide recession. One of t...
Stress testing is a simulation technique to evaluate portfolio reactions to several critical situati...
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...
We propose a new method for analysing multiperiod stress scenarios for portfolio credit risk more sy...
In this paper, we collect consumer delinquency data from several economic shocks in order to study t...
Financial institutions are faced with the challenge to forecast future credit portfolio losses. It i...
Macro stress-testing has become an important tool to assess financial stability. This paper describe...
Abstract Article refers to the issue of credit risk management in commercial banks. Particular atten...
This paper presents a tractable and empirically sound technique for generating stressed probabilitie...
Amid instability of financial markets and macroeconomic situation the necessity of improving bank ri...
In this thesis, we construct a portfolio of commodity futures, which mimics the Dow Jones Commodity ...
The paper develops a comprehensive framework for market risk stress testing in internationally acti...
Motivated by a real problem, this study aims to develop models to conduct stress testing on credit c...
This thesis discusses a number of potential applications for macro stress tests while focusing on th...
The financial crisis of 2007-2008 was a severe global crisis causing a worldwide recession. One of t...
Stress testing is a simulation technique to evaluate portfolio reactions to several critical situati...