Transmission of macroeconomic shocks to risk parameters: Their uses in stress testing
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DOI: 10.1002/asmb.2493
Abstract: In this paper, we are interested in evaluating the resilience of financial portfolios under extreme economic conditions. Therefore, we use empirical measures to characterize the transmission process of macroeconomic shocks to risk parameters. We propose… read more here.
Keywords: shocks risk; risk; transmission macroeconomic; transmission ... See more keywords