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~isPartOf:"Bundesbank Discussion Paper"
~isPartOf:"IMF staff country report"
~person:"Siemsen, Thomas"
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Bayesian model averaging
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model uncertainty
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quantile mapping
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stress test
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German residential mortgage market
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credit risk
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survey data
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Siemsen, Thomas
Vilsmeier, Johannes
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On a quest for robustness: About model risk, randomness and discretion in credit risk stress tests
Siemsen, Thomas
;
Vilsmeier, Johannes
-
2018
distributions and implied capital shortfalls by conducting a full-edged top-down credit risk
stress
test
for over 1,500 German banks …
Persistent link: https://www.econbiz.de/10011902078
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2
A
stress
test
framework for the German residential mortgage market: Methodology and application
Siemsen, Thomas
;
Vilsmeier, Johannes
-
2017
the severely adverse scenario. We quantify the impact of RWA modeling on
stress
test
results and show that the …
Persistent link: https://www.econbiz.de/10011772546
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