An Empirical Study of Bank Stress Testing for Auto Loans
Journal of Financial Stability(2018)
摘要
•We present an empirical study of stress testing for portfolios of auto loans.•Loans aged five years or more have significantly higher default probabilities.•This finding raises concerns about the increasing maturity of auto loans in recent years.•Model instability is an inherent challenge in stress testing.
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关键词
G21,G28,G31
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