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Stress testing for retail mortgages based on probability analysis

Liu, Chang; Nassar, Raja - In: Computational economics 53 (2019) 1, pp. 433-455

Persistent link: https://www.econbiz.de/10012134696

A method of retail mortgage stress testing : based on time-frame and magnitude analysis

Liu, Chang; Nassar, Raja; Guo, Min - In: Journal of forecasting 34 (2015) 4, pp. 261-274

Persistent link: https://www.econbiz.de/10011305205

Account-level analytic hierarchical mixing modeling for credit risk of Chinese Government financing vehicle portfolios

Liu, Chang; Zhang, Biqian; Wang, Xuefei; Guo, Min - In: Empirical economics : a quarterly journal of the … 62 (2022) 6, pp. 2771-2798

Persistent link: https://www.econbiz.de/10013197445

S&P 500 Index revisions and credit spreads

Baran, Lindsay; Li, Ying; Liu, Chang; Liu, Zilong; Pu, … - In: Review of financial economics : RFE 36 (2018) 4, pp. 348-363

Persistent link: https://www.econbiz.de/10011948628

Testing to extreme : an application of reverse stress testing engineering on mortgages of commercial banks in China

Liu, Chang; Tang, Lin; Lin, Dongtao; Guo, Jiayi - In: International journal of finance & economics : IJFE 28 (2023) 1, pp. 187-192

Persistent link: https://www.econbiz.de/10014253171

A new pricing approach for SME loans issued by commercial banks based on credit score mapping and Archimedean Copula simulation

Liu, Chang; Shi, Haoming; Cai, Yujun; Shen, Shu; Lin, … - In: Journal of business economics and management 20 (2019) 4, pp. 618-632

The traditional loans pricing methods are usually based on risk measures of individual loan's characteristics without considering the correlation between the defaults of different loans and the contribution of individual loans to the entire loan portfolio. In this study, using account-level...

Persistent link: https://www.econbiz.de/10012175768