Stress Testing Banks' Credit Risk Using Mixture Vector Autoregressive Models
This paper estimates macroeconomic credit risk of banks¡¦ loan portfolio based on a class of mixture vector autoregressive models. Such class of models can differentiate distributions of default rates and macroeconomic conditions for different market situations and can capture their dynamics evolving over time, including the feedback effect from an increase in fragility back to the macroeconomy. These extensions can facilitate the evaluation of credit risks of loan portfolio based on different credit loss distributions.
Year of publication: |
2008-10
|
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Authors: | Fong, Tom Pak-wing ; Wong, Chun-shan |
Institutions: | Hong Kong Monetary Authority |
Subject: | Stress test | Hong Kong Banking | Credit risk | Mixture autoregressive models | Macroeconomic shocks | Value-at-risk |
Saved in:
freely available
Extent: | application/pdf |
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Series: | |
Type of publication: | Book / Working Paper |
Notes: | Number 0813 23 pages |
Classification: | C15 - Statistical Simulation Methods; Monte Carlo Methods ; C32 - Time-Series Models ; C53 - Forecasting and Other Model Applications ; E37 - Forecasting and Simulation ; G21 - Banks; Other Depository Institutions; Mortgages |
Source: |
Persistent link: https://www.econbiz.de/10005690177
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