Arbeitspapier
Global business cycles and credit risk
The potential for portfolio diversification is driven broadly by two characteristics: the degree to which systematic risk factors are correlated with each other and the degree of dependence individual firms have to the different types of risk factors. Using a global vector autoregressive macroeconometric model accounting for about 80% of world output, we propose a model for exploring credit risk diversification across industry sectors and across different countries or regions. We find that full firm-level parameter heterogeneity along with credit rating information matters a great deal for capturing differences in simulated credit loss distributions. Imposing homogeneity results in overly skewed and fat-tailed loss distributions. These differences become more pronounced in the presence of systematic risk factor shocks: increased parameter heterogeneity reduces shock sensitivity. Allowing for regional parameter heterogeneity seems to better approximate the loss distributions generated by the fully heterogeneous model than allowing just for industry heterogeneity. The regional model also exhibits less shock sensitivity.
- Sprache
-
Englisch
- Erschienen in
-
Series: CESifo Working Paper ; No. 1548
- Klassifikation
-
Wirtschaft
Multiple or Simultaneous Equation Models: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
Financial Institutions and Services: General
General Aggregative Models: Forecasting and Simulation: Models and Applications
- Thema
-
risk management
default dependence
economic interlinkages
portfolio choice
Kreditrisiko
Portfolio-Management
Zahlungsunfähigkeit
Unternehmenswert
Konjunkturzusammenhang
Welt
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Pesaran, Mohammad Hashem
Schuermann, Til
Treutler, Björn-Jakob
- Ereignis
-
Veröffentlichung
- (wer)
-
Center for Economic Studies and ifo Institute (CESifo)
- (wo)
-
Munich
- (wann)
-
2005
- Handle
- Letzte Aktualisierung
-
20.09.2024, 08:21 MESZ
Datenpartner
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Objekttyp
- Arbeitspapier
Beteiligte
- Pesaran, Mohammad Hashem
- Schuermann, Til
- Treutler, Björn-Jakob
- Center for Economic Studies and ifo Institute (CESifo)
Entstanden
- 2005
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