Macroeconomic Stress-Testing of Mortgage Default Rate Using a Vector Error Correction Model and Entropy Pooling
| Year of publication: |
2017
|
|---|---|
| Authors: | Ardia, David |
| Other Persons: | Guerrouaz, Anas (contributor) ; Rey, Jeanne (contributor) |
| Publisher: |
[2017]: [S.l.] : SSRN |
| Subject: | Hypothek | Mortgage | Kointegration | Cointegration | Entropie | Entropy | Insolvenz | Insolvency | Kreditrisiko | Credit risk | Theorie | Theory |
| Extent: | 1 Online-Ressource (20 p) |
|---|---|
| Type of publication: | Book / Working Paper |
| Language: | English |
| Notes: | In: Insurance and Risk Management, Vol. 83, Number 3-4, pp. 115-133, 2016 Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments July 7, 2016 erstellt |
| Other identifiers: | 10.2139/ssrn.2806403 [DOI] |
| Classification: | C15 - Statistical Simulation Methods; Monte Carlo Methods ; C32 - Time-Series Models ; C53 - Forecasting and Other Model Applications ; E32 - Business Fluctuations; Cycles ; E37 - Forecasting and Simulation |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://ebvufind01.dmz1.zbw.eu/10012968851