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- W3164181520 abstract "We simulate default rate distributions based on models built on crisis and tranquil periods to explore the impact changes in model parameters between different scenarios have on stress testing results. We apply the parameter posterior distribution obtained in a Bayesian approach to stress testing to reduce the estimation risk that results from using parameter point estimates. We compute the VaRs and required capital with both the effect of macroeconomic shocks on model parameters and the estimation risk considered. We find that the required capital is underestimated by over 170% when neither parameter instability nor estimation risk is addressed." @default.
- W3164181520 created "2021-06-07" @default.
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- W3164181520 date "2019-01-01" @default.
- W3164181520 modified "2023-09-26" @default.
- W3164181520 title "Macroeconomic Shocks on Model Parameters: Stress Testing Mortgage Loan Default Rate" @default.
- W3164181520 doi "https://doi.org/10.2139/ssrn.3472130" @default.
- W3164181520 hasPublicationYear "2019" @default.
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