Least Impulse Response Estimator for Stress Test Exercises

Abstract : We introduce new semi-parametric models for the analysis of rates and proportions, such as proportions of default, (expected) loss-given-default and credit conversion factor encountered in credit risk analysis. These models are especially convenient for the stress test exercises demanded in the current prudential regulation. We show that the Least Impulse Response Estimator, which minimizes the estimated effect of a stress, leads to consistent parameter estimates. The new models with their associated estimation method are compared with the other approaches currently proposed in the literature such as the beta and logistic regressions. The approach is illustrated by both simulation experiments and the case study of a retail P2P lending portfolio.
Document type :
Journal articles
Complete list of metadatas

Cited literature [21 references]  Display  Hide  Download

https://hal.archives-ouvertes.fr/hal-02419030
Contributor : Yang Lu <>
Submitted on : Friday, December 20, 2019 - 10:18:56 AM
Last modification on : Thursday, February 20, 2020 - 7:22:08 PM

File

LIR.pdf
Files produced by the author(s)

Identifiers

Citation

Christian Gouriéroux, Yang Lu. Least Impulse Response Estimator for Stress Test Exercises. Journal of Banking and Finance, Elsevier, 2019, 103, pp.62-77. ⟨10.1016/j.jbankfin.2019.03.021⟩. ⟨hal-02419030⟩

Share

Metrics

Record views

38

Files downloads

85