A stress test framework for the German residential mortgage market: Methodology and application
Year of publication: |
2017
|
---|---|
Authors: | Siemsen, Thomas ; Vilsmeier, Johannes |
Publisher: |
Frankfurt a. M. : Deutsche Bundesbank |
Subject: | stress test | Bayesian model averaging | quantile mapping | survey data | German residential mortgage market | model uncertainty |
Series: | Bundesbank Discussion Paper ; 37/2017 |
---|---|
Type of publication: | Book / Working Paper |
Type of publication (narrower categories): | Working Paper |
Language: | English |
ISBN: | 978-3-95729-417-3 |
Other identifiers: | 1009639013 [GVK] hdl:10419/172531 [Handle] RePEc:zbw:bubdps:372017 [RePEc] |
Classification: | C11 - Bayesian Analysis ; C52 - Model Evaluation and Testing ; G21 - Banks; Other Depository Institutions; Mortgages |
Source: |
-
A stress test framework for the German residential mortgage market : methodology and application
Siemsen, Thomas, (2017)
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On a quest for robustness : about model risk, randomness and discretion in credit risk stress tests
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