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Measuring Systemic Banking Resilience : A Simple Reverse Stress Testing Approach

Feyen, Erik - 2021

Reverse stress tests can be a useful tool to evaluate bank resilience to a credit shock, especially in environments where financial data are limited or opaque. This paper develops a simple and transparent country-level banking sector resilience indicator that focuses on tail risks, the...

Persistent link: https://www.econbiz.de/10012817556

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

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

Forecasting and stress testing credit card default using dynamic models

Bellotti, Tony; Crook, Jonathan N. - 2011

Persistent link: https://www.econbiz.de/10009272007

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

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

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