Economics, Econometrics and Finance
8 years ago

Revolutionizing Credit Risk Assessment for Retail Loans: Stress-Testing Parameters Unveiled

SSRN Electronic Journal
Stress-Testing Credit Risk Parameters: An Application to Retail Loan Portfolios
Daniel Roesch, Harald Scheule

Paper Summary

The article explores how to test credit risk parameters for retail loan portfolios under stress conditions. The researchers applied a method to assess the impact of stress scenarios on credit risk. They found that stress-testing can help identify potential weaknesses in loan portfolios and improve risk management strategies.

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