Stress Testing and Calibration of Macroprudential Policy Tools /
We present a semi-structural model of default risk, which is a function of loan and borrower characteristics, economic conditions, and the regulatory environment. We use this model to simulate bank credit losses for stress-testing purposes and to calibrate borrower-based macroprudential tools. The p...
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| Natura: | Periodico |
| Lingua: | English |
| Pubblicazione: |
Washington, D.C. :
International Monetary Fund,
2020.
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| Serie: | IMF Working Papers; Working Paper ;
No. 2020/165 |
| Accesso online: | Full text available on IMF |