Identifying Threshold Effects in Credit Risk Stress Testing
Year of publication: |
2004-08-01
|
---|---|
Authors: | Morales, Armando Méndez ; Gasha, Jose Giancarlo |
Institutions: | International Monetary Fund (IMF) |
Subject: | Credit risk | Stress testing | gdp growth | probability | business cycle | normal distribution | growth rates | gdp growth rates | functional form | growth rate | real gdp | markov process | probability distribution | statistics | econometrics | gdp growth rate | time series | standard errors | equation | heteroscedasticity | random walk | standard deviation | standard error | probability function | probabilities | quality control | cointegration | predictions | standard deviations | statistic | goodness of fit | stochastic process | gnp |
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