The integrated impact of credit and interest rate risk on banks: A dynamic framework and stress testing application

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Risk in Islamic Banking (2012, background): “However, interest rate lev ls can influence the ability of borrowers to re-pay (Jarrow and Turnbull, 2000; Carling et al., 2007; Drehmann et al., 2010 and Alessandri and Drehmann, 2010) - at higher levels the incentiv to default (moral hazard) increases.”
Consumer Credit Risk Models Via Machine-Learning Algorithms (2010, background): “can also be summarized with confusion matrices with different classification thresholds, and incorporated into enterprise risk management protocols such as that of Drehmann et al. (2010). In this section, we construct such aggregate delinquency probabilities in the year prior to the credit crisis of”
Finance-Growth Nexus and Dual-Banking Systems: Relative Importance of Islamic Banks (2016, background): “adversely affect borrowers’ ability to repay loans (Jarrow and Turnbull, 2000; Carling et al., 2007; Drehmann et al., 2010; and Alessandri and Drehmann, 2010).”
Stress-Testing Macro Stress Testing: Does it Live Up to Expectations? (2012, unknown): “Using Drehmann et al (2010) as one building block, the approach aims to model all the key channels highlighted Graph 1, including all relevant feedback mechanisms.”