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ASSESSING PORTFOLIO CREDIT RISK CHANGES IN A SAMPLE OF EU LARGE AND COMPLEX BANKING GROUPS IN REACTION TO MACROECONOMIC SHOCKS

ASSESSING PORTFOLIO CREDIT
RISK CHANGES IN A SAMPLE
OF EU LARGE AND COMPLEX
BANKING GROUPS IN REACTION
TO MACROECONOMIC SHOCKS

by Olli Castrén, Trevor Fitzpatrick
and Matthias Sydow

I am not going to quote the abstract as I usually do I am simply going to say that if you have an interest in Credit Risk Stress Testing then

YOU HAVE TO READ THIS PAPER!!!

http://www.ecb.europa.eu/pub/pdf/scpwps/ecbwp1002.pdf

ODD TIME (IN EUROPE ANYWAY) TO PUBLISH SUCH A PIECE, GIVEN THAT IT SEEMS TO HAVE BEEN READY SINCE FEBRUARY.

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