Sensitivity of stress testing metrics to estimation risk, account behaviour and volatility for credit defaults.
Viani Biatat DjeundjeJonathan CrookPublished in: J. Oper. Res. Soc. (2023)
Keyphrases
- risk analysis
- credit risk
- financial crisis
- exchange rate
- risk management
- risk evaluation
- estimation algorithm
- risk assessment
- decision making
- parameter estimation
- data mining
- object oriented software
- risk measures
- commercial banks
- accurate estimation
- expressive power
- default reasoning
- risk factors
- estimation accuracy
- sensitivity analysis
- credit scoring
- long term
- high sensitivity
- stock index futures
- stock market