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Stress Testing of Real Credit Portfolios · Study

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PreprintStress Testing of Real Credit Portfolios

Ferdinand Bernhard Mager2016

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Preprintgreen2016

Stress Testing of Real Credit Portfolios

Ferdinand Bernhard Mager · Christian Schmieder

36 citations·0/0 files stored·SSRN Electronic Journal

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Financial Risk and Volatility Modeling Banking stability, regulation, efficiency Credit Risk and Financial Regulations

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References

1974ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES*1999Coherent Measures of Risk 2003A risk-factor model foundation for ratings-based bank capital rules 2003The empirical relationship between average asset correlation, firm probability of default, and asset size 2007The cyclical effects of the Basel II capital requirements 1998Stress Testing in a Value at Risk Framework 1977THE PRINCIPLES OF CORPORATE PENSION FINANCE 2003Simulation based stress tests of banks' regulatory capital adequacy

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2010Forecasting national activity using lots of international predictors: An application to New Zealand 2019Stress tests: useful complements to financial risk models

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Details

Year2016

Typepreprint

Published2016-01-01

VenueSSRN Electronic Journal

ISSN-L1556-5068

Languageen

Citations36

Files0 public / 0

ShelfFinancial Risk and Volatility Modeling

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doi10.2139/ssrn.2794020

openalex_workW1594290046

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