TY - JOUR
TI - Macroeconomic stress-testing of mortgage default rate using a vector error correction model and entropy pooling
UR - http://www.revueassurances.ca/en/
KW - mortgage default probability, entropy pooling, macroeconomic variables, stress-testing, VECM
LA - en
AU - Ardia, D.
AU - Guerrouaz, A.
AU - Rey, J.
PY - 2016
DA - .
AB - 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).
T2 - Insurance and Risk Management
IS - 3-4
VL - 83
SP - 115
EP - 133
ER -