Researchers at the Indiana University Kelley School of Business and the University of Missouri have devised a more accurate model to predict recessions and economic slowdowns, based on the aggregate ...
We explore the question of optimal aggregation level for stress testing models when the stress test is specified in terms of aggregate macroeconomic variables, but the underlying performance data are ...
How well stress tests measure a bank’s ability to survive adverse conditions depends on the statistical modeling approach used. Banks can access data on loan characteristics to precisely estimate ...
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