Fischer, Matthias; Kraus, Daniel; Pfeuffer, Marius; … - In: Risks : open access journal 5 (2017) 3, pp. 1-13
Measuring interdependence between probabilities of default (PDs) in different industry sectors of an economy plays a crucial role in financial stress testing. Thereby, regression approaches may be employed to model the impact of stressed industry sectors as covariates on other response sectors....