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 |
| LEADER | 00909 am a22001333u 4500 | ||
|---|---|---|---|
| 001 | 156515 | ||
| 042 | |a dc | ||
| 100 | 1 | 0 | |a Breeden, J.L. |e author |
| 700 | 1 | 0 | |a Thomas, Lyn C. |e author |
| 245 | 0 | 0 | |a The relationship between default and economic cycles for retail portfolios across countries |
| 260 | |c 2008. | ||
| 856 | |z Get fulltext |u https://eprints.soton.ac.uk/156515/1/StressTestingExamplesrevision0608.pdf | ||
| 520 | |a 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-testing models follow a framework described here of focusing on consumer-centric macroeconomic variables so that the models are as robust as possible when predicting the impacts of future shocks. | ||
| 655 | 7 | |a Article | |