Modeling Systematic Risk and Point-in-Time Probability of Default under the Vasicek Asymptotic Single Risk Factor Model Framework
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More about this item
Keywords
point-in-time PD; through-the-cycle PD; Vasicek model; systematic risk; entity specific risk; stress testing; rating migration; scenario loss;All these keywords.
JEL classification:
- B4 - Schools of Economic Thought and Methodology - - Economic Methodology
- C1 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General
- C5 - Mathematical and Quantitative Methods - - Econometric Modeling
- E6 - Macroeconomics and Monetary Economics - - Macroeconomic Policy, Macroeconomic Aspects of Public Finance, and General Outlook
- G18 - Financial Economics - - General Financial Markets - - - Government Policy and Regulation
- G3 - Financial Economics - - Corporate Finance and Governance
NEP fields
This paper has been announced in the following NEP Reports:- NEP-ECM-2014-11-22 (Econometrics)
- NEP-MAC-2014-11-22 (Macroeconomics)
- NEP-ORE-2014-11-22 (Operations Research)
- NEP-RMG-2014-11-22 (Risk Management)
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