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Developing a stress testing model for the credit risk exposure of a leasing company

Merckel, W.B. (2017) Developing a stress testing model for the credit risk exposure of a leasing company.

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Abstract:During this thesis, important literature and most recent trends in conducting stress testing at financial institutions were examined. Most research about stress testing is focused on banks and not at other financial institutions such as leasing companies. Different types of stress analyses, varieties of shocks and types of scenarios were evaluated. Based on the theoretical background and the existing credit risk models of the leasing company, a stress testing model is developed.
Item Type:Essay (Master)
Faculty:BMS: Behavioural, Management and Social Sciences
Subject:83 economics
Programme:Industrial Engineering and Management MSc (60029)
Link to this item:http://purl.utwente.nl/essays/72227
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