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More about this item
Keywords
credit risk; default correlation; stress test; state space model; bootstrap; MLE;All these keywords.
JEL classification:
- E0 - Macroeconomics and Monetary Economics - - General
- G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages
NEP fields
This paper has been announced in the following NEP Reports:- NEP-BAN-2013-09-06 (Banking)
- NEP-MAC-2013-09-06 (Macroeconomics)
- NEP-RMG-2013-09-06 (Risk Management)
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