Modelling credit risk : evidence for EMV methodology on portuguese mortgage data
Traditional credit risk models failed during the recent financial crisis and revealed weaknesses in forecasting and stress testing procedures. One of the main reasons for this failure was the fact that they did not include lifecycle and macroeconomic adverse selection effects. The Exogenous-Maturity...
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| Formato: | workingPaper |
| Idioma: | eng |
| Publicado em: |
2021
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| Texto completo: | http://hdl.handle.net/10400.5/20884 |
| País: | Portugal |
| Oai: | oai:www.repository.utl.pt:10400.5/20884 |