A comparison of methodologies in the stress testing of credit risk – alternative scenario and dependency constructs

A comparison of methodologies in the stress testing of credit risk – alternative scenario and dependency constructs

In the aftermath of the financial crisis of the last decade, banking supervisors have sought the solution to the problem of determining the optimal capital levels that an institution should hold, in order to support their risk taking activities. The experience of this financial downturn has given ri...

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Bibliographic Details
Main Authors: Michael Jacobs Jr., Frank J. Sensenbrenner
Format: Article
Language:English
Published: AIMS Press 2018-04-01
Series:Quantitative Finance and Economics
Subjects:
stress testing| CCAR; DFAST| credit risk| financial crisis| model risk| vector autoregression| Markov switching model| scenario generation
Online Access:http://www.aimspress.com/article/10.3934/QFE.2018.2.294/fulltext.html

Internet

http://www.aimspress.com/article/10.3934/QFE.2018.2.294/fulltext.html

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