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Retail credit stress testing using a discretee hazard model with macroeconomic factors
Bellotti, Tony; Crook, Jonathan N. - In: Journal of the Operational Research Society : OR 65 (2014) 3, pp. 340-350
Persistent link: https://www.econbiz.de/10010251708
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Forecasting and stress testing credit card default using dynamic models
Bellotti, Tony; Crook, Jonathan N. - In: International journal of forecasting 29 (2013) 4, pp. 563-574
Persistent link: https://www.econbiz.de/10010212469
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Forecasting and stress testing credit card default using dynamic models
Bellotti, Tony; Crook, Jonathan N. - 2011
Persistent link: https://www.econbiz.de/10009272007
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Reducing estimation risk using a Bayesian posterior distribution approach : application to stress testing mortgage loan default
Wang, Zheqi; Crook, Jonathan N.; Andreeva, Galina - In: European journal of operational research : EJOR 287 (2020) 2, pp. 725-738
Persistent link: https://www.econbiz.de/10012293945
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The impact of macroeconomic scenarios on recurrent delinquency : a stress testing framework of multi-state models for mortgages
Bocchio, Cecilia; Crook, Jonathan N.; Andreeva, Galina - In: International journal of forecasting 39 (2023) 4, pp. 1655-1677
Persistent link: https://www.econbiz.de/10014465340
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Sensitivity of stress testing metrics to estimation risk, account behaviour and volatility for credit defaults
Djeundje, Viani Biatat; Crook, Jonathan N. - In: Journal of the Operational Research Society 74 (2023) 7, pp. 1763-1774
Persistent link: https://www.econbiz.de/10014336309