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Macro stress testing of credit risk focused on the tails

https://doi.org/10.1016/j.jfs.2011.10.003
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What this work says

Outgoing claims: the papers this work cites, builds on, or argues with.

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Instrumental variable quantile regression: A robust inference approach
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A comparative analysis of macro stress-testing methodologies with application to Finland
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Stress testing and corporate finance
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A Macro Stress Test Model of Credit Risk for the Brazilian Banking Sector
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Inflation targeting in Brazil: constructing credibility under exchange rate volatility
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Penalized quantile regression for dynamic panel data
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Testing for Consistency using Artificial Regressions
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Goodness of Fit and Related Inference Processes for Quantile Regression
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Inference on the Quantile Regression Process
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Inside the Black Box: The Credit Channel of Monetary Policy Transmission
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Monetary policy and inflation in Brazil (1975-2000): a VAR estimation
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Hazardous Times for Monetary Policy: What Do Twenty-Three Million Bank Loans Say about the Effects of Monetary Policy on Credit Risk-Taking?
inferredcites →https://doi.org/10.2139/ssrn.2185664openalex-snapshot
Non-Linearities, Model Uncertainty, and Macro Stress Testing
inferredcites →https://doi.org/10.2139/ssrn.981109openalex-snapshot
Modeling the Distribution of Credit Losses With Observable and Latent Factors
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Robust Tests for Heteroscedasticity Based on Regression Quantiles
inferredcites →https://doi.org/10.2307/1913398openalex-snapshot
Tests of Linear Hypotheses and l"1 Estimation
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A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix
inferredcites →https://doi.org/10.2307/1913643openalex-snapshot
Regression Quantiles
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Specification Tests in Econometrics
inferredcites →https://doi.org/10.26509/frbc-wp-200317openalex-snapshot
Inflation and Financial Market Performance: What Have We Learned in the Last Ten Years?
inferredcites →https://doi.org/10.5089/9781451866230.001openalex-snapshot
Introduction to Applied Stress Testing

What points at this work

Incoming claims: where this work appears in other papers’ reference lists and arguments.

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The hidden risks of credit risk stress test parameterizations: spurious default probability projections unveiled
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The Pre- and Post-Crisis Stress Testing in the Banking Sector — A Literature Review
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