Portfolio Credit Risk and Macroeconomic Shocks : Applications to Stress Testing Under Data-Restricted Environments

Intro -- Contents -- I. INTRODUCTION -- II. PORTFOLIO CREDIT RISK -- III. PROPOSAL TO IMPROVE PORTFOLIO CREDIT RISK MEASUREMENT -- IV. PROPOSED PROCEDURE FOR STRESS TESTING -- V. STRESS TESTING: EMPIRICAL IMPLEMENTATION IN DENMARK -- VI. ANALYSIS OF STRESS TESTING RESULTS -- VII. CONCLUSIONS -- Appendix 1: Entropy in a Nutshell -- References.

MoreLess

Year of publication:	2006
Authors:	Segoviano Basurto, Miguel A
Publisher:	Washington : International Monetary Fund
Subject:	Kreditrisiko \| Credit risk \| Schock \| Shock \| Portfolio-Management \| Portfolio selection \| Theorie \| Theory \| Risikomanagement \| Risk management \| Stresstest \| Stress test

Online Resource

Check full text access |

More access options

Check Google Scholar

In libraries world-wide (WorldCat)

In German libraries (KVK)

subito order

I need help

Extent:	1 online resource (52 pages)
Series:	IMF working paper ; WP/06/283
Type of publication:	Book / Working Paper
Language:	English
Notes:	Description based on publisher supplied metadata and other sources. ""Contents""; ""I. INTRODUCTION""; ""II. PORTFOLIO CREDIT RISK""; ""III. PROPOSAL TO IMPROVE PORTFOLIO CREDIT RISK MEASUREMENT""; ""IV. PROPOSED PROCEDURE FOR STRESS TESTING""; ""V. STRESS TESTING: EMPIRICAL IMPLEMENTATION IN DENMARK""; ""VI. ANALYSIS OF STRESS TESTING RESULTS""; ""VII. CONCLUSIONS""; ""Appendix 1: Entropy in a Nutshell""; ""References""
ISBN:	978-1-4519-0996-8 ; 978-1-4518-6543-1
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10012691214