Similar Search Results

Narrow search

Macro stress testing with a macroeconomic credit risk model : application to the French manufacturing sector

Avouyi-Dovi, Sanvi; Bardos, Mireille; Jardet, Caroline; … - 2009

Persistent link: https://www.econbiz.de/10003882029

Microstructure of financial and money markets : lessons learned from the conference held in Paris on 6 and 7 June 2006

Avouyi-Dovi, Sanvi; Jardet, Caroline - In: Financial stability review : FSR 9 (2006), pp. 105-116

Persistent link: https://www.econbiz.de/10003418834

Macro stress testing with a macroeconomic credit risk model : Application to the French manufacturing sector

Bardos, Mireille; Moquet, Jeremy; Kendaoui, Ludovic; … - Université Paris-Dauphine (Paris IX) - 2009

The aim of this paper is to build and estimate a macroeconomic model of credit risk for the French manufacturing sector. This model is based on Wilson’s Credit Portfolio View model (1997a, 1997b); it enables us to simulate loss distributions for a credit portfolio for several macroeconomic...

Persistent link: https://www.econbiz.de/10010706440

Microstructure of financial and money markets : lessons learned from the conference held in Paris on 6 and 7 June 2006

Avouyi-Dovi, Sanvi; Jardet, Caroline - In: Financial stability review : FSR 9 (2006), pp. 105-116

Persistent link: https://www.econbiz.de/10009921036

Macro Stress Testing with a Macroeconomic Credit Risk Model : Application to the French Manufacturing Sector

Avouyi-Dovi, Sanvi - 2010

The aim of this paper is to build and estimate a macroeconomic model of credit risk for the French manufacturing sector. This model is based on Wilson's CreditPortfolioView model (1997a, 1997b); it enables us to simulate loss distributions for a credit portfolio for several macroeconomic...

Persistent link: https://www.econbiz.de/10013138812