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Stress Testing for Default Probabilities in Banking Industry; An Application of Credit Portfolio Approach

fatemeh abdolshah; Saeed Moshiri

Volume 17, Issue 66 , October 2017, , Pages 23-54

https://doi.org/10.22054/joer.2017.8201

Abstract
  Because of prevalence of non-performing loans in Iranian banking sector, it is important to estimate the default probability of borrowers in order to effectively manage credit risk. This paper conducts stress testing for default probabilities in banking industry of Iran. We apply the credit portfolio ...  Read More