Macro stress tests and history‐based stressed PD: the case of Hong Kong
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DOI: 10.1108/13581980810888868
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Cited by:
- Agata Gemzik-Salwach, 2012. "The Use Of A Value At Risk Measure For The Analysis Of Bank Interest Margins," "e-Finanse", University of Information Technology and Management, Institute of Financial Research and Analysis, vol. 8(4), pages 15-29, February.
- Michael C. S. Wong & Ho Ming Ho, 2023. "A Framework for Integrating Extreme Weather Risk, Probability of Default, and Loss Given Default for Residential Mortgage Loans," Sustainability, MDPI, vol. 15(15), pages 1-16, August.
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Keywords
Financial models; Financial institutions; Modelling; Econometrics; Stress; Hong Kong;All these keywords.
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