Boss, Michael; Fenz, Martin; Pann, Johannes; Puhr, Claus; … - In: Financial Stability Report (2009) 17, pp. 85-101
In quantitative financial stability analysis, the link between the macroeconomic environment and credit risk is of particular importance when assessing the risk hidden in loan portfolios. Macroeconomic stress testing, in particular, which aims at measuring the impact of an economic crisis on...