The relationship between default and economic cycles for retail portfolios across countries
The relationship between default and economic cycles for retail portfolios across countries
In this paper, we collect consumer delinquency data from several economic shocks in order to study the creation of stress-testing models. We leverage the dual-time dynamics modeling technique to better isolate macroeconomic impacts whenever vintage-level performance data is available. The stress-testing models follow a framework described here of focusing on consumer-centric macroeconomic variables so that the models are as robust as possible when predicting the impacts of future shocks.
11-47
Breeden, J.L.
00dd4046-648c-4ac9-98b8-252fc05000c3
Thomas, Lyn C.
a3ce3068-328b-4bce-889f-965b0b9d2362
2008
Breeden, J.L.
00dd4046-648c-4ac9-98b8-252fc05000c3
Thomas, Lyn C.
a3ce3068-328b-4bce-889f-965b0b9d2362
Breeden, J.L. and Thomas, Lyn C.
(2008)
The relationship between default and economic cycles for retail portfolios across countries.
Journal of Risk Model Validation, 2 (3), .
Abstract
In this paper, we collect consumer delinquency data from several economic shocks in order to study the creation of stress-testing models. We leverage the dual-time dynamics modeling technique to better isolate macroeconomic impacts whenever vintage-level performance data is available. The stress-testing models follow a framework described here of focusing on consumer-centric macroeconomic variables so that the models are as robust as possible when predicting the impacts of future shocks.
Text
StressTestingExamplesrevision0608.pdf
- Accepted Manuscript
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Published date: 2008
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Local EPrints ID: 156515
URI: http://eprints.soton.ac.uk/id/eprint/156515
PURE UUID: 8b108b77-b49a-4fd6-96d0-b2045d58fa77
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Date deposited: 01 Jun 2010 08:21
Last modified: 14 Mar 2024 01:44
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Author:
J.L. Breeden
Author:
Lyn C. Thomas
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