Macroeconomic Stress-Test and Sensitivity Analysis of Fnancial Industry Credit Risk: An Example from The US Market
This paper seeks to implement simple stress-test analysis using OLS method to understand banking industry sensitivity to macroeconomic risk in US financial market from 2005 to 2008. Some observation made upon a couple of variables such as exchange rates of five world currenciesto US dollar, short a...
| Main Author: | Anggoro Budi Nugroho |
|---|---|
| Format: | Jurnal |
| Language: | Bahasa Indonesia |
| Published: |
ITB
2011
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| Subjects: | |
| Online Access: |
http://oaipmh-jogjalib.umy.ac.idkatalog.php?opo=lihatDetilKatalog&id=51893 |