Assessing portfolio credit risk changes in a sample of EU large and complex banking groups in reaction to macroeconomic shocks
Year of publication: |
2009
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Authors: | Castrén, Olli ; Fitzpatrick, Trevor ; Sydow, Matthias |
Publisher: |
Frankfurt a. M. : European Central Bank (ECB) |
Subject: | Bankrisiko | Kreditrisiko | Portfolio-Management | Konjunktur | Schock | Statistische Verteilung | Mathematische Optimierung | EU-Staaten | macroeconomic shock measurement | Portfolio credit risk measurement | stress testing |
Series: | ECB Working Paper ; 1002 |
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Type of publication: | Book / Working Paper |
Type of publication (narrower categories): | Working Paper |
Language: | English |
Other identifiers: | 599387084 [GVK] hdl:10419/153436 [Handle] RePEc:ecb:ecbwps:20091002 [RePEc] |
Classification: | C02 - Mathematical Methods ; C19 - Econometric and Statistical Methods: General. Other ; C52 - Model Evaluation and Testing ; C61 - Optimization Techniques; Programming Models; Dynamic Analysis ; E32 - Business Fluctuations; Cycles |
Source: |
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Castrén, Olli, (2009)
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Segoviano, Miguel A., (2009)
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