We build a stress testing framework to evaluate the sensitivity of banks’ profitability to plausible but severe adverse macroeconomic shocks. Specifically, we test the resilience of French banks using supervisory data over the period 1993-2009. First, we identify the macroeconomic and...

In this paper, we discuss interval estimation for the common mean of several heterogeneous log-normal (LN) populations. The proposed procedure is based on a higher order likelihood method. The merits of our proposed method are numerically compared with other three methods with respect to their...

As applied to the behavior of homeowners with mortgages, option theory predicts that mortgage prepayment or default will be exercised if the call or put option is in the money by some specific amount. Our analysis: tests the extent to which the option approach can explain default and prepayment...

As applied to the behavior of homeowners with mortgages, option theory predicts that mortgage prepayment or default will be exercised if the call or put option is in the money by some specific amount. Our analysis: tests the extent to which the option approach can explain default and prepayment...