Stress testing / Liquidity and funding risk [22]

Go to: Summary | Previous | Next   
Bullet points include: Now extend maximum likelihood estimation to a version that is conditional on a set of shocks to business cycle variables such as GDP Requires data that differentiates between different GDP states Model latent variables conditional on an observable macro variable, say, ft with their own idiosyncratic terms gi,t: Then simulate credit VaR model conditional on specified set of macro shocks, perhaps differentiating by region and industry etc.

Contents | Prev | Next | ERM Lecture Series

Desktop view | Switch to Mobile