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All Blog Posts Tagged 'http://www.info.gov.hk/hkma/eng/research/working/pdf/HKMAWP13_08_full.pdf' (1)

Stress testing banks'credit risk using mixture vector autoregressive models

Prepared by Tom Pak-wing Fong, Research Department, Hong Kong Monetary Authority and Chun-shan Wong, Department of Finance, The Chinese University of Hong Kong



This paper estimates macroeconomic credit risk of banks’ loan portfolio based on a class of mixture vector autoregressive models. Such class of models can differentiate distributions of default rates and macroeconomic conditions for different market situations and can capture their dynamics evolving over time, including the… Continue

Added by John A Morrison on January 9, 2009 at 3:00am — No Comments

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