Kadeřábek, Petr; Slabý, Aleš; Vodička, Josef - Institut ekonomických studií, Univerzita Karlova v Praze - 2008
This paper introduces a model for stress testing of probability of default of individuals. The model rests on … function of several macroeconomic indicators such as wages, unemployment and interest rates. Stress testing is carried out by … applying exogenous stress scenarios for development of these indicators. The model implies that sensitivity of probability of …