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摘要翻译：
在本文中，我们感兴趣的是评估金融组合在极端经济条件下的弹性。因此，我们采用实证测度来表征宏观经济冲击向风险参数的传导过程。我们提出使用一个广泛的模型族，称为通用传递函数模型，它很好地浓缩了由冲击度量描述的传递特征。采用贝叶斯方法并利用影响测度提供的先验信息，描述了估计这些模型参数的过程。此外，我们还从一个投资组合的信用风险数据说明了估计模型的使用。
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英文标题：
《Transmission of Macroeconomic Shocks to Risk Parameters: Their uses in
Stress Testing》
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作者：
Helder Rojas, David Dias
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最新提交年份：
2019
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分类信息：
一级分类：Statistics 统计学
二级分类：Applications 应用程序
分类描述：Biology, Education, Epidemiology, Engineering, Environmental Sciences, Medical, Physical Sciences, Quality Control, Social Sciences
生物学，教育学，流行病学，工程学，环境科学，医学，物理科学，质量控制，社会科学
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一级分类：Economics 经济学
二级分类：Econometrics 计量经济学
分类描述：Econometric Theory, Micro-Econometrics, Macro-Econometrics, Empirical Content of Economic Relations discovered via New Methods, Methodological Aspects of the Application of Statistical Inference to Economic Data.
计量经济学理论，微观计量经济学，宏观计量经济学，通过新方法发现的经济关系的实证内容，统计推论应用于经济数据的方法论方面。
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一级分类：Statistics 统计学
二级分类：Other Statistics 其他统计数字
分类描述：Work in statistics that does not fit into the other stat classifications
从事不适合其他统计分类的统计工作
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英文摘要：
In this paper, we are interested in evaluating the resilience of financial portfolios under extreme economic conditions. Therefore, we use empirical measures to characterize the transmission process of macroeconomic shocks to risk parameters. We propose the use of an extensive family of models, called General Transfer Function Models, which condense well the characteristics of the transmission described by the impact measures. The procedure for estimating the parameters of these models is described employing the Bayesian approach and using the prior information provided by the impact measures. In addition, we illustrate the use of the estimated models from the credit risk data of a portfolio.
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PDF链接：
https://arxiv.org/pdf/1809.07401
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