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Macroeconomic stress-testing of mortgage default rate using a vector error correction model and entropy pooling
Auteur(s)
Date de parution
2016
In
Insurance and Risk Management
Vol.
3-4
No
83
De la page
115
A la page
133
Revu par les pairs
1
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).
Identifiants
Autre version
http://www.revueassurances.ca/en/
Type de publication
journal article
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