Artikel
Korean Housing Cycle: Implications for Risk Management (Factor-augmented VAR Approach)
This paper proposes an integrated risk-management framework that includes 1) measuring the risk of credit portfolios, 2) implementing a (macro) stress test, and 3) setting risk limits using the estimated systematic latent factor specific to capture the housing market cycle. To this end, we extract information from a set of real-estate market variables based on the FAVAR methodology proposed by Bernanke, Boivin and Eliasz (2005). Then, we show the method by which the estimated systematic factor is applied to risk management in the housing market in an integrated manner within the Vasicek one-factor credit model. The proposed methodology is well fitted to analyze the risk of slow-moving and low-defaultable forms of capital, such as alternative investments.
- Language
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Englisch
- Bibliographic citation
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Journal: KDI Journal of Economic Policy ; ISSN: 2586-4130 ; Volume: 39 ; Year: 2017 ; Issue: 3 ; Pages: 43-62 ; Sejong: Korea Development Institute (KDI)
- Classification
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Wirtschaft
General Aggregative Models: Forecasting and Simulation: Models and Applications
Financing Policy; Financial Risk and Risk Management; Capital and Ownership Structure; Value of Firms; Goodwill
- Subject
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Housing Cycle
FAVAR
Risk Management
- Event
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Geistige Schöpfung
- (who)
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Kwon, Hyuck-Shin
Bang, Doo Won
Kim, Myeong Hyeon
- Event
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Veröffentlichung
- (who)
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Korea Development Institute (KDI)
- (where)
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Sejong
- (when)
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2017
- DOI
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doi:10.23895/kdijep.2017.39.3.43
- Handle
- Last update
-
10.03.2025, 11:41 AM CET
Data provider
This object is provided by:
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ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
Object type
- Artikel
Associated
- Kwon, Hyuck-Shin
- Bang, Doo Won
- Kim, Myeong Hyeon
- Korea Development Institute (KDI)
Time of origin
- 2017
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