Portfolio Credit Risk and Macroeconomic Shocks : Applications to Stress Testing Under Data-Restricted Environments.

Portfolio credit risk measurement is greatly affected by data constraints, especially when focusing on loans given to unlisted firms. Standard methodologies adopt convenient, but not necessarily properly specified parametric distributions or simply ignore the effects of macroeconomic shocks on credi...

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Bibliographic Details
Format: eBook
Language:English
Published: International Monetary Fund 2006.
Series:IMF working paper ; WP/06/283.
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