The Macro Stress Test of Credit Risk on American Banks Based on the Panel Vector Autoregression Model (Comparison Between Large and Small Banks)
The purpose of this project is to stress test the credit risk of American Banks. The credit risk of different banking groups in the United States is compared through a scenario setting of macro factors. The main grouping is made up of both large and small banking groups. Firstly, the macroeconomic f...
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| Format: | Dissertation (University of Nottingham only) |
| Language: | English |
| Published: |
2018
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| Online Access: | https://eprints.nottingham.ac.uk/54124/ |