Retail credit stress testing using a discrete hazard model with macroeconomic factors

Keyphrases

• Macroeconomic Factors 100%
• Stress Testing 100%
• Retail Credit 100%
• Discrete-time Hazard Model 100%
• Default Rate 100%
• Macroeconomic Variables 50%
• Factor Analysis 50%
• Conditional Value at Risk 50%
• Macroeconomic Conditions 50%
• UK Data 50%
• Monte Carlo Simulation 50%
• Time-dependent Covariates 50%
• Probability of Default 50%
• Traditional Models 50%
• Scenario Generation 50%
• Discrete-time Survival Analysis 50%
• Expected Shortfall 50%
• Improved Methodology 50%
• Credit Models 50%
• Economic Scenarios 50%
• Dynamic Stress Test 50%
• Dynamic Model Test 50%

Social Sciences

• UK 100%
• Macroeconomics 100%
• Factor Analysis 100%
• Macroeconomic Factors 100%
• Value at Risk 100%
• Macroeconomic Condition 100%

Economics, Econometrics and Finance

• Macroeconomics 100%
• Duration Analysis 100%
• Macroeconomic Variable 50%
• Macroeconomic Condition 50%
• Monte Carlo Simulation 50%
• Stress Test 50%