Portfolio Credit Risk and Macroeconomic Shocks : Applications to Stress Testing Under Data-Restricted Environments /

Portfolio Credit Risk and Macroeconomic Shocks : Applications to Stress Testing Under Data-Restricted Environments /

Portfolio credit risk measurement is greatly affected by data constraints, especially when focusing on loans given to unlisted firms. Standard methodologies adopt convenient, but not necessarily properly specified parametric distributions or simply ignore the effects of macroeconomic shocks on credi...

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Bibliographic Details
Main Author: Segoviano Basurto, Miguel A
Format: Book
Language:English
Published: Washington, D.C. : International Monetary Fund, 2006
Series:IMF Working Papers ; Working Paper No. 06/283
IMF eLibrary
Subjects:
Accounting standards
Applications
Banking crises
Banking systems
Banks
Business Fluctuations
Calculus of variations
Calculus
Calibration
Capital requirements
Central limit theorem
Correlation
Correlations
Credit risk
Cumulative distribution function
Cycles
Dynamic Analysis
Economic conditions
Economic models
Emerging markets
Empirical measure
Equation
Equations
Financial statistics
Financial systems
Finite sample
Frequency distribution
Goodness of fit
Housing finance
Integral
Linear model
Market risk
Mathematical models
Mathematical statistics
Mathematical theory
Mathematics
Maximum likelihood estimation
Mean square
Model Evaluation and Testing
Moral hazard
Mortgages
Multivariate distribution
Multivariate distributions
Normal distribution
Normal distributions
Number of parameters
Optimization Techniques
Optimization
Other Depository Institutions
Other
Parameter vector
Predictions
Probabilities
Probability density
Probability distribution
Probability distributions
Probability
Programming Models
Random variable
Random variables
Risk assessment
Risk management
Risk managers
Risk model
Risk modeling
Risk-weighted assets
Samples
Simulation process
Standard errors
Statistic
Statistical inferences
Statistical methods
Statistical terms
Statistics
Stochastic processes
Stress testing
Survey
Time series
Denmark

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