Incorporating lifecycle and environment in loan-level forecasts and stress tests

DOI10.1016/J.EJOR.2016.06.008MaRDI QIDQ323577zbMATH OpenOpenAlexWikidataFDO

Authors Joseph L. Breeden

Publication date 7 October 2016

Published in European Journal of Operational Research (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.ejor.2016.06.008

zbMATH Keywords

forecastingtime seriesriskbankingage-period-cohort models

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Economic time series analysis (91B84) Statistical methods; risk measures (91G70) Credit risk (91G40)

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Cites work

• scientific article; zbMATH DE number 1442355 (Why is no real title available?)
• scientific article; zbMATH DE number 3385132 (Why is no real title available?)
• Modeling survival data: extending the Cox model
• The Two-Way Proportional Hazards Model

Cited in

(2)

• Modeling lifetime expected credit losses on bank loans
• Reducing estimation risk using a Bayesian posterior distribution approach: application to stress testing mortgage loan default

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