Macroeconomic stress-testing of mortgage default rate using a vector error correction model and entropy pooling
David Ardia, Anas Guerrouaz & Jeanne Rey
| Résumé |
We propose a methodology to perform macroeconomic stress-testing on
the probability of default of a given borrowers’ population (i.e.,
aggregate probability of default) through simulation from a vector
error correction model and entropy pooling (Meucci, 2008). |
| Mots-clés |
mortgage default probability, entropy pooling, macroeconomic variables, stress-testing, VECM |
| Citation | Ardia, D., Guerrouaz, A., & Rey, J. (2016). Macroeconomic stress-testing of mortgage default rate using a vector error correction model and entropy pooling. Insurance and Risk Management, 83(3-4), 115-133. |
| Type | Article de périodique (Anglais) |
| Date de publication | 2016 |
| Nom du périodique | Insurance and Risk Management |
| Volume | 83 |
| Numéro | 3-4 |
| Pages | 115-133 |
| URL | http://www.revueassurances.ca/en/ |