Page 65 - Special Topic Session (STS) - Volume 2

STS459 Gan C.P. et al.
References
1. Altıntaş, A. (2012). Kredi kayıplarının makro ekonomik değişkenlere dayalı
olarak tahmini ve stres testleri. Türk bankacılık sektörü için ekonometrik
bir yaklaşım (Estimation of credit losses with respect to macroeconomic
ındicators and stress tests – An econometric approach for Turkish
banking). Türkiye Bankalar Birliği, 281, İstanbul.
2. Alves, I. (2005). Sectoral fragility: Factors and dynamics. Investigating the
Relationship between the Financial and Real Economy, Bank for
International Settlements, 22, 450-80.
3. Avouyi-Dovi, S., Mireille, B., Jardet, C., Kendaoui, L., & Moquet, J. (2009).
Macro stress testing with a macroeconomic credit risk model:
Application to the French manufacturing sector. Banque de France
Working Paper No. 238.
4. Castrén, O., Dées, S., & Zaher, F. (2008). Global macro-financial shocks
and expected default frequencies in the euro area. Working Paper Series
875, European Central Bank.
5. Distinguin, I., Rous, P., & Tarazi, A. (2006). Market discipline and the use
of stock market data to predict bank financial distress. Journal of
Financial Services Research, 30(2), 151-176.
6. Figlewski, S., Frydman, H., & Liang, W. (2012). Modeling the effect of
macroeconomic factors on corporate default and credit rating
transitions. International Review of Economics & Finance, 21(1), 87-105.
7. Gan, C. P., & Pooi, A. H. (2015). Estimation of transition probabilities of
credit ratings. AIP Conference Proceedings (Vol. 1691, No. 1, p. 050005).
AIP Publishing.
8. Gan, C.P., Pooi, A.H. and Ng, K. H. (2017). Prediction of Future Credit
Rating Using a Non-Markovian Model. AIP Conference Proceedings (Vol.
1830, p. 080002). AIP Publishing.
9. Jakubik, P., & Schmieder, C. (2008). Stress Testing Credit Risk:
Comparison of the Czech Republic and Germany; FSI Award 2008
Winning Paper. Financial Stability Institute, Bank for International
Settlements, Switzerland.
10. Kronwald, C. (2009). Credit Rating and the Impact on Capital Structure.
Munich, GRIN Verlag.
11. Küçüközmen, C. C., & Yüksel, A. (2006). A macroeconometric model for
stress testing credit portfolio. In 13th Annual Conference of the
Multinational Finance Society.
12. Otani, A., Shiratsuka, S., Tsurui, R., & Yamada, T. (2009). Macro stress-
testing on the loan portfolio of Japanese banks. Bank of Japan Working
Paper Series No. 09-E-1.
13. Pooi, A. H. (2012). A model for time series analysis. Applied
Mathematical Sciences, 6(115), 5735-5748.

54 | I S I W S C 2 0 1 9