Stress testing retail loan portfolios with dual time dynamics
Stress-testing has become an important topic in retail lending since the introduction of the new Basel II guidelines. Here we use a scenario-based forecasting approach developed explicitly for retail lending in order to provide a suitable stress-testing approach. We first decompose the historical vi...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
2008.
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| Subjects: | |
| Online Access: | Get fulltext |