Dec 1, 2016 · Using the retrended lifecycle and environment functions to compute the monthly populations odds as a function of the age of the loan and ...
Breeden, Joseph L., 2016. "Incorporating lifecycle and environment in loan-level forecasts and stress tests," European Journal of Operational Research, Elsevier ...
In addition to producing loan-level forecasts and stress tests, the scores produced have higher rank-order performance out-of-sample and out-of-time than ...
Sep 17, 2013 · Forecasting. ▫ Use lifecycle and an environmental scenario to create the offset. ▫ The model predicts loan-level, monthly probabilities ...
1992. Incorporating lifecycle and environment in loan-level forecasts and stress tests. JL Breeden. European Journal of Operational Research 255 (2), 649-658 ...
Financial Institutions (FIs) today have an interesting challenge involving their stress test process . How do they produce expected credit loss values (ECL).
In this paper, we collect consumer delinquency data from several economic shocks in order to study the creation of stress-testing models.
Incorporating lifecycle and environment in loan-level forecasts and stress tests · J. Breeden. Business, Economics. Eur. J. Oper. Res. 2016. 12 Citations · PDF.
"Incorporating lifecycle and environment in loan-level forecasts and stress tests," European Journal of Operational Research, Elsevier, vol. 255(2), pages ...
The stress tests evaluate the financial resilience of banks by estimating losses, revenues, expenses, and resulting capital levels under hypothetical economic ...