Loss coverage and stress testing mortgage portfolios: A non-parametric approach

Journal of Financial Stability

Volumn 3, Issue 4, 2007, Pages 342-367

  Rodriguez, Adolfo ^a   Trucharte, Carlos ^a  

^a BANCO DE ESPAÑA   (Spain)

Author keywords

Credit loss distribution; Monte Carlo simulation; Mortgage rating; Stress test

Indexed keywords

EID: 35548929807     PISSN: 15723089     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.jfs.2007.09.002     Document Type: Article

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