A Monte Carlo simulation integrates loan production with multistate probabilistic cash flow modeling to generate dynamic stressed portfolio credit risk metrics.
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Compares Markov chain, beta regression and multinomial logistic regression for loan default term-structures on mortgage data and reports successive outperformance plus new diagnostics.
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An extendable, integrated, and dynamic approach to forecasting and stress-testing credit risk
A Monte Carlo simulation integrates loan production with multistate probabilistic cash flow modeling to generate dynamic stressed portfolio credit risk metrics.
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Modelling the term-structure of default risk under IFRS 9 within a multistate regression framework
Compares Markov chain, beta regression and multinomial logistic regression for loan default term-structures on mortgage data and reports successive outperformance plus new diagnostics.