Incorporating lifecycle and environment in loan-level forecasts and stress tests

DOI10.1016/j.ejor.2016.06.008zbMath1346.91248OpenAlexW2413795404WikidataQ58626897 ScholiaQ58626897MaRDI QIDQ323577

Joseph L. Breeden

Publication date: 7 October 2016

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

Full work available at URL: https://doi.org/10.1016/j.ejor.2016.06.008

zbMATH Keywords

time seriesriskforecastingbankingage-period-cohort models

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70) Economic time series analysis (91B84) Credit risk (91G40)

Related Items

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

Cites Work

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