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Ardia, David
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Ardia, David
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- PublicationAccès libreMacroeconomic stress-testing of mortgage default rate using a vector error correction model and entropy pooling(2016)
; ;Guerrouaz, AnasRey, JeanneWe propose a methodology to perform macroeconomic stress-testing on the probability of default of a given borrowers’ population (i.e., aggregate probability of default) through simulation from a vector error correction model and entropy pooling (Meucci, 2008).