Arbeitspapier
Observation driven mixed-measurement dynamic factor models with an application to credit risk
We propose a dynamic factor model for mixed-measurement and mixed-frequency panel data. In this framework time series observations may come from a range of families of parametric distributions, may be observed at different time frequencies, may have missing observations, and may exhibit common dynamics and cross-sectional dependence due to shared exposure to dynamic latent factors. The distinguishing feature of our model is that the likelihood function is known in closed form and need not be obtained by means of simulation, thus enabling straightforward parameter estimation by standard maximum likelihood. We use the new mixed-measurement framework for the signal extraction and forecasting of macro, credit, and loss given default risk conditions for U.S. Moody’s-rated firms from January 1982 until March 2010. Our joint modelling framework allows us to construct predictive (conditional) loss densities for portfolios of corporate bonds in the presence of different sources of credit risk such as frailty effects and systematic recovery risk.
- Sprache
-
Englisch
- Erschienen in
-
Series: ECB Working Paper ; No. 1626
- Klassifikation
-
Wirtschaft
Multiple or Simultaneous Equation Models: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
Financing Policy; Financial Risk and Risk Management; Capital and Ownership Structure; Value of Firms; Goodwill
- Thema
-
default risk
dynamic beta density
dynamic factor model
dynamic ordered probit
loss given default
panel data
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Creal, Drew
Schwaab, Bernd
Koopman, Siem Jan
Lucas, André
- Ereignis
-
Veröffentlichung
- (wer)
-
European Central Bank (ECB)
- (wo)
-
Frankfurt a. M.
- (wann)
-
2013
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:44 MEZ
Datenpartner
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Creal, Drew
- Schwaab, Bernd
- Koopman, Siem Jan
- Lucas, André
- European Central Bank (ECB)
Entstanden
- 2013
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