A Method of Retail Mortgage Stress Testing: Based on Time‐Frame and Magnitude Analysis

DOI10.1002/FOR.2326zbMath1376.62066OpenAlexW1520533814MaRDI QIDQ5369572

Chang Liu, Min Guo, R. F. Nassar

Publication date: 18 October 2017

Published in: Journal of Forecasting (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1002/for.2326

zbMATH Keywords

non-stationary Markov chainasset distributionretail mortgagesVARMAX-L modeling

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Credit risk (91G40)

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