Browsing by Subject "Derive a credit cycle index"

Browsing by Subject "Derive a credit cycle index"

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  • Sebolai, Tshepiso C (University of Pretoria, 2014)
    This dissertation proposes stress testing of a bank’s corporate credit portfolio in a Basel Internal Ratings Based (IRB) framework, using publicly available macroeconomic variables. Corporate insolvencies are used to derive ...