Transmission of macroeconomic shocks to risk parameters: their uses in stress testing

DOI10.1002/ASMB.2493WikidataQ126777585 ScholiaQ126777585MaRDI QIDQ6576845FDOQ6576845

David P. Dias, Helder Rojas

Publication date: 23 July 2024

Published in: Applied Stochastic Models in Business and Industry (Search for Journal in Brave)

zbMATH Keywords

stress testingBayesian approachgeneral transfer function modelsrisk parameterstransmission of shocks

Mathematics Subject Classification ID

Statistics (62-XX)

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Cited In (1)

• Stress testing network reconstruction via graphical causal model

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