Rating momentum in the macroeconomic stress testing and scenario analysis of credit risk

The Journal of Risk Model Validation ◽

10.21314/jrmv.2017.167 ◽

2017 ◽

pp. 21-47 ◽

Cited By ~ 1

Author(s):

Jimmy Skoglund ◽

Wei Chen

Keyword(s):

Credit Risk ◽

Scenario Analysis ◽

Stress Testing

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The application of credit risk models to macroeconomic scenario analysis and stress testing

The Journal of Credit Risk ◽

10.21314/jcr.2016.208 ◽

2016 ◽

Vol 12 (2) ◽

pp. 1-45 ◽

Cited By ~ 10

Author(s):

Jimmy Skoglund ◽

Wei Chen

Keyword(s):

Credit Risk ◽

Scenario Analysis ◽

Stress Testing ◽

Risk Models

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Rating Momentum in the Macroeconomic Stress Testing and Scenario Analysis of Credit Risk

SSRN Electronic Journal ◽

10.2139/ssrn.2791524 ◽

2016 ◽

Cited By ~ 1

Author(s):

Jimmy Skoglund ◽

Wei Chen

Keyword(s):

Credit Risk ◽

Scenario Analysis ◽

Stress Testing

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Stress Testing Credit Risk: The Great Depression Scenario

CFA Digest ◽

10.2469/dig.v42.n4.83 ◽

2012 ◽

Vol 42 (4) ◽

pp. 186-188

Author(s):

Marc L. Ross

Keyword(s):

Credit Risk ◽

Great Depression ◽

Stress Testing ◽

The Great Depression

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Stress Testing Banks' Credit Risk Using Mixture Vector Autoregressive Models

SSRN Electronic Journal ◽

10.2139/ssrn.1326833 ◽

2008 ◽

Cited By ~ 4

Author(s):

Tom Fong ◽

Chun Shan Wong

Keyword(s):

Credit Risk ◽

Stress Testing ◽

Autoregressive Models ◽

Vector Autoregressive Models ◽

Vector Autoregressive

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The Application of Credit Risk Models to Macroeconomic Regulatory Stress Testing

SSRN Electronic Journal ◽

10.2139/ssrn.2605862 ◽

2015 ◽

Author(s):

Jimmy Skoglund ◽

Wei Chen

Keyword(s):

Credit Risk ◽

Stress Testing ◽

Risk Models

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Stress-Testing Credit Risk Parameters - An Application to Retail Loan Portfolios

SSRN Electronic Journal ◽

10.2139/ssrn.970163 ◽

2007 ◽

Cited By ~ 1

Author(s):

Daniel Roesch ◽

Harald Scheule

Keyword(s):

Credit Risk ◽

Stress Testing ◽

Loan Portfolios ◽

Risk Parameters

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Macro-stress testing of credit risk for Chinese Banking sector: Two comparative approaches

ICSSSM11 ◽

10.1109/icsssm.2011.5959400 ◽

2011 ◽

Cited By ~ 1

Author(s):

Zhaoyuan Li ◽

Sibo Liu ◽

Maozai Tian

Keyword(s):

Credit Risk ◽

Stress Testing ◽

Banking Sector ◽

Chinese Banking

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Quantification of Model Risk in Stress Testing and Scenario Analysis

SSRN Electronic Journal ◽

10.2139/ssrn.3040086 ◽

2017 ◽

Author(s):

Jimmy Skoglund

Keyword(s):

Scenario Analysis ◽

Stress Testing ◽

Model Risk

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Stress-testing credit risk: the Italian experience

Stress-testing the Banking System ◽

10.1017/cbo9780511635618.010 ◽

2009 ◽

pp. 133-148

Author(s):

Sebastiano Laviola ◽

Juri Marcucci ◽

Mario Quagliariello

Keyword(s):

Credit Risk ◽

Stress Testing ◽

Italian Experience

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STRESS-TESTING OF CREDIT RISK OF BANKS BASED ON MACROECONOMIC VARIABLES

Investytsiyi praktyka ta dosvid ◽

10.32702/2306-6814.2019.12.10 ◽

2019 ◽

pp. 10

Author(s):

N. Shulga ◽

L. Belianko

Keyword(s):

Credit Risk ◽

Stress Testing ◽

Macroeconomic Variables

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