Macroeconomic Stress-Testing of Mortgage Default Rate Using a Vector Error Correction Model and Entropy Pooling

We propose a methodology to perform macroeconomic stress-testing on the probability of default of a given borrowers' population (i.e., aggregate probability of default) through simulation from a vector error correction model and entropy pooling (Meucci, 2008)

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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