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Stress testing credit card portfolios : an application in South Africa

Yixing, Seah; So, Mee Chi; Thomas, Lyn C. - In: Journal of the Operational Research Society : OR 65 (2014) 3, pp. 351-362

Persistent link: https://www.econbiz.de/10010251706

Stress testing and model validation : application of the Bayesian approach to a credit risk portfolio

Jacobs, Michael <Jr.>; Karagozoglu, Ahmet K.; … - In: The journal of risk model validation 9 (2015) 3, pp. 41-70

Persistent link: https://www.econbiz.de/10011410323

Credit risk forecasting modelling and projections under IFRS 9

Montesi, Giuseppe; Papiro, Giovanni; Ugolini, Laura - In: Journal of risk management in financial institutions 12 (2018/2019) 1, pp. 79-101

Persistent link: https://www.econbiz.de/10012041846

The validation of machine-learning models for the stress testing of credit risk

Jacobs, Michael <Jr.> - In: Journal of risk management in financial institutions 11 (2017/2018) 3, pp. 218-243

Persistent link: https://www.econbiz.de/10011942534

Bank Net Interest Margin Forecasting and Capital Adequacy Stress Testing by Machine Learning Techniques

Brummelhuis, Raymond - 2019

stress-test rests on its ability to inform the financial market, which depends on whether or not the market has confidence in … the model-projected asset-losses and incomes for banks. Post-crisis studies found that the stress-test results are … grounds used by the literature to challenge the validity of stress-test. Last, our results from forecast accuracy comparisons …

Persistent link: https://www.econbiz.de/10012897479

Stress testing for supervisory purposes : framework and challenges

Cox, Joseph; Ryu, Lisa - In: Journal of risk management in financial institutions 7 (2014) 1, pp. 6-15

Persistent link: https://www.econbiz.de/10010259570

Stress testing and modelling of rating migration under the Vasicek model framework : empirical approaches and technical implementation

Yang, Bill Huajian; Du, Zunwei - In: The journal of risk model validation 9 (2015) 2, pp. 33-47

Persistent link: https://www.econbiz.de/10011326309

Scenario-based stress tests : are they painful enough?

Ellis, Colin - In: Contemporary economics 11 (2017) 2, pp. 219-234

Forecasts, models and stress tests are important tools for policymakers and business planners. Recent developments in these related spheres have seen greater emphasis placed on stress tests from a regulatory perspective, while at the same time forecasting performance has been criticized. Given...

Persistent link: https://www.econbiz.de/10011760487

Rating-transition-probability models and Comprehensive Capital Analysis and Review stress testing : methodologies and implementation

Yang, Bill Huajian; Du, Zunwei - In: The journal of risk model validation 10 (2016) 3, pp. 1-19

Persistent link: https://www.econbiz.de/10011587660

Extreme risk modeling : an EVT-pair-copulas approach for financial stress tests

Koliai, Lyes - In: Journal of banking & finance 70 (2016), pp. 1-22

Persistent link: https://www.econbiz.de/10011635106