The Macro Stress Test of Credit Risk on American Banks
Based on the Panel Vector Autoregression Model
(Comparison Between Large and Small Banks)

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The Macro Stress Test of Credit Risk on American Banks Based on the Panel Vector Autoregression Model (Comparison Between Large and Small Banks)

Abstract 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 ma...

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Bibliographic Details
Main Author:	Mengchen, Chai
Format:	Dissertation (University of Nottingham only)
Language:	English
Published:	2018
Online Access:	https://eprints.nottingham.ac.uk/54155/

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