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Stress testing credit risk : a survey of authorities' approaches

Foglia, Antonella - In: International journal of central banking : IJCB 5 (2009) 3, pp. 9-45

Persistent link: https://www.econbiz.de/10009521403

Water quality trading with asymmetric information, uncertainty and transaction costs : a stochastic agent-based simulation

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Stress testing credit risk : a survey of authorities' approaches

Foglia, Antonella - 2009

Persistent link: https://www.econbiz.de/10003871223

Stress Testing Credit Risk : A Survey of Authorities' Approaches

Foglia, Antonella - 2009

This paper reviews the quantitative methods used at selected central banks to stress testing credit risk, focusing in particular on the methods used to link macroeconomic drivers of stress with bank specific measures of credit risk (macro stress test). Stress testing credit risk is an essential...

Persistent link: https://www.econbiz.de/10013160243