A mixture vector autoregressive framework to capture extreme events in macro-prudential stress tests
Year of publication: |
2013
|
---|---|
Authors: | Guarda, Paolo ; Rouabah, Abdelaziz ; Theal, John |
Published in: |
The journal of risk model validation. - London : Infopro Digital, ISSN 1753-9579, ZDB-ID 2316764-6. - Vol. 7.2013/2014, 4, p. 21-51
|
Subject: | Ausfallrisiko | default risk | Schock | Shock | Kreditrisiko | Credit risk | Prognoseverfahren | Forecasting model | VAR-Modell | VAR model | Statistische Verteilung | Statistical distribution | Luxemburg | Luxembourg | Stresstest | Stress test | 1995-2012 |
-
An MVAR framework to capture extreme events in macro-prudential stress tests
Guarda, Paolo, (2011)
-
An MVAR framework to capture extreme events in macro-prudential stress tests
Guarda, Paolo, (2012)
-
An MVAR Framework to Capture Extreme Events in Macro-Prudential Stress Tests
Guarda, Paolo, (2012)
- More ...
-
An MVAR Framework to Capture Extreme Events in Macroprudential Stress Tests
Guarda, Paolo, (2011)
-
An MVAR framework to capture extreme events in macro-prudential stress tests
Guarda, Paolo, (2012)
-
An MVAR framework to capture extreme events in macro-prudential stress tests
Guarda, Paolo, (2012)
- More ...