| عنوان فارسی مقاله: | مدل آزمون استرس کلان ریسک اعتباری برای بخش بانکداری برزیل |
| عنوان انگلیسی مقاله: | A macro stress test model of credit risk for the Brazilian banking sector |
چکیده
1. مقدمه
2. مرور مقالات
3. روش‌شناسی
3.1. مرور اجمالی روش‌شناسی
3.2. مدل کلان
3.3. مدل‌های اقتصاد خرد
4. استرس آزمون
4.1. شبیه سازی NPLها تحت سناریوهای جایگزین
4.2. تورش انباشت پرتفوی
4.3. VaR اعتباری
5. ملاحظات نهایی free english paper
کلمات کلیدی :
Brazil: Banking sector risk - Economist Intelligence Unit www.eiu.com/industry/article/1463499130/brazil-banking-sector-risk/2015-09-11 Sep 4, 2015 - A rise in macroeconomic and credit risks has contributed to a downgrade to the BB-rating band in this report. Amid monetary tightening and ... [PDF]Systemic Bank Risk in Brazil: An Assessment of ... - CiteSeerX citeseerx.ist.psu.edu/viewdoc/download?doi=10.1.1.535.7394&rep=rep1... by TM Barnhill Jr - Cited by 9 - Related articles Systemic Bank Risk in Brazil: An Assessment of Correlated Market, Credit, Sovereign, and Inter-Bank Risk in an Environment with Stochastic Volatilities and ... A Macro Stress Test Model of Credit Risk for the Brazilian Banking ... https://ideas.repec.org/p/bcb/wpaper/226.html by F Vazquez - 2010 - Cited by 56 - Related articles Downloadable! This paper proposes a model to conduct macro stress test of credit risk for the banking system based on scenario analysis. We employ an ... A Macro Stress Test Model of Credit Risk for the Brazilian Banking ... econpapers.repec.org/RePEc:bcb:wpaper:226 by F Vazquez - 2010 - Cited by 56 - Related articles By Francisco Vazquez, Benjamin Tabak and Marcos Souto; Abstract: This paper proposes a model to conduct macro stress test of credit risk for the banking ...