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Year of publication
Subject
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Bayesian model averaging 4 model uncertainty 4 quantile mapping 4 stress test 4 Bayes-Statistik 2 Bayesian inference 2 Credit risk 2 German residential mortgage market 2 Kreditrisiko 2 Stress test 2 Stresstest 2 credit risk 2 survey data 2 Bank risk 1 Bankrisiko 1 Deutschland 1 Forecasting model 1 Germany 1 Hypothek 1 Modellierung 1 Mortgage 1 Portfolio selection 1 Portfolio-Management 1 Prognoseverfahren 1 Risiko 1 Risikomanagement 1 Risk 1 Risk management 1 Scientific modelling 1 Theorie 1 Theory 1
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Online availability
All
Free 4
Type of publication
All
Book / Working Paper 4
Type of publication (narrower categories)
All
Working Paper 4 Arbeitspapier 2 Graue Literatur 2 Non-commercial literature 2
Language
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English 4
Author
All
Siemsen, Thomas 4 Vilsmeier, Johannes 4
Published in...
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Bundesbank Discussion Paper 2 Discussion paper 2
Source
All
ECONIS (ZBW) 2 EconStor 2
Showing 1 - 4 of 4
Cover Image
On a quest for robustness: About model risk, randomness and discretion in credit risk stress tests
Siemsen, Thomas; Vilsmeier, Johannes - 2018
In this paper we study the impact of model uncertainty, which occurs when linking a stress scenario to default probabilities, on reduced-form credit risk stress testing. This type of uncertainty is omnipresent in most macroeconomic stress testing applications due to short time series for banks'...
Persistent link: https://www.econbiz.de/10011902078
Saved in:
Cover Image
On a quest for robustness : about model risk, randomness and discretion in credit risk stress tests
Siemsen, Thomas; Vilsmeier, Johannes - 2018
In this paper we study the impact of model uncertainty, which occurs when linking a stress scenario to default probabilities, on reduced-form credit risk stress testing. This type of uncertainty is omnipresent in most macroeconomic stress testing applications due to short time series for banks'...
Persistent link: https://www.econbiz.de/10011897976
Saved in:
Cover Image
A stress test framework for the German residential mortgage market: Methodology and application
Siemsen, Thomas; Vilsmeier, Johannes - 2017
averaging approach that combines standard BMA with a benchmark derived from a quantile mapping between the historical PD …
Persistent link: https://www.econbiz.de/10011772546
Saved in:
Cover Image
A stress test framework for the German residential mortgage market : methodology and application
Siemsen, Thomas; Vilsmeier, Johannes - 2017
averaging approach that combines standard BMA with a benchmark derived from a quantile mapping between the historical PD …
Persistent link: https://www.econbiz.de/10011764865
Saved in:
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