Loan pricing, stress testing and capital allocation

Jason Allen

Journal of Economics and Econometrics, 2017, vol. 60, issue 2, 39-64

Abstract: The present paper proposes an improved estimated approach for risk modelling processes of loan pricing, stress testing and capital allocation. The proposed estimation approach allows to reduce bias related to measurement errors in the risk scale. Further, compared to standard estimators, our approach allows to obtain more robust credit loss estimates in the risk modeling.

Keywords: Credit risk; loan pricing; stress testing and capital allocation. (search for similar items in EconPapers)
JEL-codes: C51 C53 G31 (search for similar items in EconPapers)
Date: 2017
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