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Sharp asymptotics for large portfolio losses under extreme risks

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Portfolio Credit Risk and Macroeconomic Shocks : Applications to Stress Testing Under Data-Restricted Environments

Segoviano Basurto, Miguel A - 2006

Intro -- Contents -- I. INTRODUCTION -- II. PORTFOLIO CREDIT RISK -- III. PROPOSAL TO IMPROVE PORTFOLIO CREDIT RISK MEASUREMENT -- IV. PROPOSED PROCEDURE FOR STRESS TESTING -- V. STRESS TESTING: EMPIRICAL IMPLEMENTATION IN DENMARK -- VI. ANALYSIS OF STRESS TESTING RESULTS -- VII. CONCLUSIONS --...

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