The relationship between default and economic cycles for retail portfolios across countries
In this paper, we collect consumer delinquency data from several economic shocks in order to study the creation of stress-testing models. We leverage the dual-time dynamics modeling technique to better isolate macroeconomic impacts whenever vintage-level performance data is available. The stress-tes...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
2008.
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| Subjects: | |
| Online Access: | Get fulltext |