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

DOI10.1002/for.2326zbMath1376.62066MaRDI 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 chain; asset distribution; retail mortgages; VARMAX-L modeling

Mathematics Subject Classification ID

62P05: Applications of statistics to actuarial sciences and financial mathematics

91G40: Credit risk