Wykorzystanie metod szacowania ryzyka kredytowego do testowania warunków skrajnych
Application the credit risk estimating methods in stress testing
Author(s): Bogdan LudwiczakSubject(s): Economy
Published by: Wydawnictwo Uniwersytetu Ekonomicznego we Wrocławiu
Keywords: credit risk; stress test; probability of default
Summary/Abstract: The work concerns with credit risk stress testing. The proposal was constructed on the methods of risk measurement applied in the supervisory capital adequacy process. These solutions are illustrated in a case study.
Journal: Prace Naukowe Uniwersytetu Ekonomicznego we Wrocławiu
- Issue Year: 2013
- Issue No: 321
- Page Range: 77-86
- Page Count: 10
- Language: Polish