Macro stress testing of credit risk focused on the tails

Journal of Financial Stability

Volumn 8, Issue 3, 2012, Pages 174-192

  Schechtman, Ricardo ^a   Gaglianone, Wagner Piazza ^a,b  

^a BANCO CENTRAL DO BRASIL   (Brazil)

^b FUCAPE BUSINESS SCHOOL   (Brazil)

Author keywords

Credit risk; Financial system; Macro stress test; Quantile regression

Indexed keywords

EID: 84862904624     PISSN: 15723089     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.jfs.2011.10.003     Document Type: Article

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