Macroeconomic stress-testing of mortgage default rate using a vector error correction model and entropy pooling
David Ardia, Anas Guerrouaz and Jeanne Rey
| Year of publication: |
2016
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|---|---|
| Authors: | Ardia, David ; Guerrouaz, Anas ; Rey, Jeanne |
| Published in: |
Assurances et gestion des risques : revue trimestrielle. - Montréal : HEC, ISSN 1705-7299, ZDB-ID 2108668-0. - Vol. 83.2016, 3/4, p. 115-133
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| Subject: | Mortgage | default | probability | entropy pooling | macroeconomic variables | stress-testing | VECM | OFSI | Hypothek | Entropie | Entropy | Kointegration | Cointegration | Insolvenz | Insolvency | Kreditrisiko | Credit risk | Theorie | Theory | Schätzung | Estimation |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Notes: | Zusammenfassung in französischer Sprache |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://ebvufind01.dmz1.zbw.eu/10011637834