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Appendix A: Model Specifications
20 Sep 2022
RDP
2022-03
β. M. o. r. t. ,. U. R. ). , multiplied by a bucket-level multiplier. (. ... Specifically, for X in AC.Cash , AC.AGS and AC.Semis:. (A85). R.
https://www.rba.gov.au/publications/rdp/2022/2022-03/appendix-a.html
Macrofinancial Stress Testing on Australian Banks
20 Sep 2022
RDP
2022-03
U. R. t. is the increase in the unemployment rate from the beginning of the scenario to time t ,. β. M. o. r. t. ,. U. R. is a coefficient that determines ... β. M. o. r. t. ,. U. R. difficult. Given this, we use a combination of approaches to
https://www.rba.gov.au/publications/rdp/2022/2022-03/full.html
Capital and Asset Growth
20 Sep 2022
RDP
2022-03
R. G. (. 0.999. ). 1. R. ). P. D. ... L. G. D. where the correlation factor R is set at 0.15 for all asset classes.
https://www.rba.gov.au/publications/rdp/2022/2022-03/capital-and-asset-growth.html
Read me file
20 Sep 2022
RDP
2022-03
The ‘function_scripts’ folder contains R scripts that set the default parameters for the model and define the relevant functions. ... Figure 9 – publically available. R version 4.0.3. The programs in this folder are intended for academic and
https://www.rba.gov.au/publications/rdp/2022/2022-03/read-me.html
References
20 Sep 2022
RDP
2022-03
Bachmann R and C Bayer (2013), ‘“Wait-and-See” Business Cycles?’, Journal of Monetary Economics, 60(6), pp 704–719. ... Kenney R, G La Cava and D Rodgers (2016), ‘Why Do Companies Fail?’, RBA Research Discussion Paper No 2016-09.
https://www.rba.gov.au/publications/rdp/2022/2022-03/references.html
Credit Loss Modelling
20 Sep 2022
RDP
2022-03
U. R. t. is the increase in the unemployment rate from the beginning of the scenario to time t ,. β. M. o. r. t. ,. U. R. is a coefficient that determines ... β. M. o. r. t. ,. U. R. difficult. Given this, we use a combination of approaches to
https://www.rba.gov.au/publications/rdp/2022/2022-03/credit-loss-modelling.html