Mindaugas Leika

International Monetary Fund (IMF)

700 19th Street, N.W.

Washington, DC 20431

United States

SCHOLARLY PAPERS

3

DOWNLOADS

156

SSRN CITATIONS

0

CROSSREF CITATIONS

0

Scholarly Papers (3)

1.

Expected Credit Loss Modeling from a Top-Down Stress Testing Perspective

IMF Working Paper No. 20/111
Number of pages: 48 Posted: 12 Aug 2020
International Monetary Fund (IMF), International Monetary Fund (IMF), International Monetary Fund (IMF) and International Monetary Fund (IMF)
Downloads 92 (339,435)

Abstract:

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Financial crises, Financial institutions, Financial instruments, Macroprudential policies and financial stability, Financial systems, Credit risk, IFRS 9, CECL, lifetime probability of default, LGD modeling., WP, LGD, transition matrix, ECL, z-score, PDs

2.

A Generalized Framework for the Assessment of Household Financial Vulnerability

IMF Working Paper No. 17/228
Number of pages: 57 Posted: 01 Dec 2017
Mindaugas Leika and Daniela Marchettini
International Monetary Fund (IMF) and International Monetary Fund (IMF)
Downloads 35 (536,330)

Abstract:

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Credit risk, Sensitivity analysis, household, stress test, microdata, non–;parametric methods, non-parametric methods, Personal Income and Wealth Distribution

3.

Integrating Solvency and Liquidity Stress Tests: The Use of Markov Regime-Switching Models

IMF Working Paper No. 19/250
Number of pages: 42 Posted: 22 Jan 2020
Fei Han and Mindaugas Leika
International Monetary Fund (IMF) and International Monetary Fund (IMF)
Downloads 29 (569,035)

Abstract:

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Financial markets, Financial institutions, Financial crises, Financial instruments, Macroprudential policies and financial stability, stress testing, solvency risk, liquidity risk, asset fire sales, Markov regime-switching models, WP, market liquidity, fire sale, fire-sale, haircut, asset class