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Keywords: Reverse stress testing
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Journal Articles
Assessing the Basel II internal ratings-based approach: Empirical evidence from Australia
Available to Purchase
Journal of Financial Regulation and Compliance (2016) 24 (2): 106–139.
Published: 09 May 2016
... Limited 2016 Emerald Group Publishing Limited Licensed re-use rights only Financial crisis Distance-to-default Asymptotic single risk factor (ASRF) model Credit value-at-risk (VaR) Internal ratings-based (IRB) approach Reverse stress testing From our fundamental assessment...
