Stress testing for retail mortgages based on probability analysis
Year of publication: |
2019
|
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Authors: | Liu, Chang ; Nassar, Raja |
Published in: |
Computational economics. - Dordrecht [u.a.] : Springer, ISSN 0927-7099, ZDB-ID 1142021-2. - Vol. 53.2019, 1, p. 433-455
|
Subject: | Copula | Non-stationary Markov chains | Retail mortgages | Simulation | Stress testing | Hypothek | Mortgage | Multivariate Verteilung | Multivariate distribution | Markov-Kette | Markov chain | Einzelhandel | Retail trade | Kreditrisiko | Credit risk | Wahrscheinlichkeitsrechnung | Probability theory |
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