Reducing estimation risk using a Bayesian posterior distribution approach: application to stress testing mortgage loan default

DOI10.1016/J.EJOR.2020.04.020zbMath1487.62137OpenAlexW3025772377MaRDI QIDQ2023954

Galina Andreeva, Zheqi Wang, Jonathan N. Crook

Publication date: 3 May 2021

Published in: European Journal of Operational Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.ejor.2020.04.020

zbMATH Keywords

stress testingOR in bankingestimation riskprobability of defaultBayesian posterior distribution approach

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Credit risk (91G40)

Related Items (3)

Joint models for longitudinal and discrete survival data in credit scoring ⋮ Joint models of multivariate longitudinal outcomes and discrete survival data with INLA: an application to credit repayment behaviour ⋮ Benchmarking forecast approaches for mortgage credit risk for forward periods

Cites Work

• Incorporating lifecycle and environment in loan-level forecasts and stress tests
• Behavioral technology credit scoring model with time-dependent covariates for stress test
• Backtesting Parametric Value-at-Risk With Estimation Risk
• ESTIMATION-ADJUSTED VAR
• Bayesian Econometric Methods

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