Least impulse response estimator for stress test exercises

Christian Gourieroux, Yang Lu

Year of publication:	2019
Authors:	Gouriéroux, Christian ; Lu, Yang
Published in:	Journal of banking & finance. - Amsterdam [u.a.] : Elsevier, ISSN 0378-4266, ZDB-ID 752905-3. - Vol. 103.2019, p. 62-77
Subject:	(Expected) loss-given-default \| Basel regulation \| Beta regression \| Credit scoring \| Impulse response \| LIR estimation \| Moebius transformation \| Pseudo-maximum likelihood \| Stress test \| Schätztheorie \| Estimation theory \| Kreditrisiko \| Credit risk \| Basler Akkord \| Basel Accord \| Kreditwürdigkeit \| Credit rating \| Stresstest \| Schätzung \| Estimation \| Schock \| Shock \| VAR-Modell \| VAR model \| Bankrisiko \| Bank risk \| Regressionsanalyse \| Regression analysis

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