
Quantitative Finance and Economics, 2018, 2(2): 294324. doi: 10.3934/QFE.2018.2.294.
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A comparison of methodologies in the stress testing of credit risk – alternative scenario and dependency constructs
^{1} Ph.D., CFA, Principal Director, Accenture Consulting, Finance and Risk Services Advisory/Models, Methodologies & Analytics, 1345 Avenue of the Americas, New York, USA
^{2} NonVisiting Fellow, US Commodity Futures Trading Commission, 525 West Monroe Street Chicago, IL, 60611, USA
Received: , Accepted: , Published:
Keywords: stress testing; CCAR; DFAST; credit risk; financial crisis; model risk; vector autoregression; Markov switching model; scenario generation
Citation: Michael Jacobs Jr., Frank J. Sensenbrenner. A comparison of methodologies in the stress testing of credit risk – alternative scenario and dependency constructs. Quantitative Finance and Economics, 2018, 2(2): 294324. doi: 10.3934/QFE.2018.2.294
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