Michael Tuchscherer

University of Osnabrück

Germany

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Scholarly Papers (1)

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Model and Estimation Risk in Credit Risk Stress Tests

Deutsche Bundesbank Discussion Paper No. 09/2019
Number of pages: 44 Posted: 11 Apr 2019
Peter Grundke, Kamil Pliszka and Michael Tuchscherer
University Osnabrück, Chair of Banking and Finance, Deutsche Bundesbank and University of Osnabrück
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Abstract:

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credit risk, default probability, estimation risk, model risk, stress tests