Data for: Systematic Stress Tests on EBA data

Published: 25-06-2020| Version 1 | DOI: 10.17632/chdvz7tkcs.1
Contributors:
Thomas Breuer,
Martin Summer

Description

1. Credit risk of a loan with one normal macroeconomic driver. 2. Credit risk of a loan with one lognormal macroeconomic driver. 3. Calculation of worst case scenario with two macroeconomic drivers on EBA data.

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