Information about Western Hemisphere Hemisferio Occidental
A Guide to IMF Stress Testing

Chapter 31. Portfolio Credit Risk and Macroeconomic Shocks: Applications to Stress Testing under Data-Restricted Environments

Li Ong
Published Date:
December 2014
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    Information about Western Hemisphere Hemisferio Occidental
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    Miguel A. Segoviano and Pablo PadillaThis chapter was previously published as IMF Working Paper No. 06/283 (Segoviano and Padilla, 2006). The authors would like to convey their special thanks to the Danish authorities and Kenneth J. Pedersen of the Danish National Bank for their exemplary cooperation. The authors would also like to thank Professor Charles Goodhart of the Financial Markets Group at the London School of Economics, Kal Wajid, Tonny Lybek, other colleagues at the IMF, and Masazumi Hattori of the Bank of Japan for very helpful comments; Kexue Liu for support on the coding; and Brenda Sylvester and Graham Colin-Jones for excellent editorial assistance.
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