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...
| Hovedforfatter: | Segoviano, Miguel |
|---|---|
| Format: | Tidsskrift |
| Sprog: | English |
| Udgivet: |
Washington, D.C. :
International Monetary Fund,
2006.
|
| Serier: | IMF Working Papers; Working Paper ;
No. 2006/283 |
| Online adgang: | Full text available on IMF |
Lignende værker
-
Risk Diversification in the Credit Portfolio : An Overview of Country Practices /
af: Morris, JoAnne
Udgivet: (2001) -
Macroeconomics Impacts of Energy Shocks
af: Huntington, H.G
Udgivet: (1987) -
Macroeconomics Impacts of Energy Shocks
af: Huntington, H.G
Udgivet: (1987) -
Probabilities of Default and the Market Price of Risk in a Distressed Economy /
af: Segoviano, Miguel
Udgivet: (2011) -
Measuring Integrated Market and Credit Risks in Bank Portfolios : An Application to a Set of Hypothetical Banks Operation in South Africa /
af: Papapanagiotou, Panagiotis
Udgivet: (2000)