Arbeitspapier
Macroeconomic Dynamics and Credit Risk: A Global Perspective
We develop a framework for modeling conditional loss distributions through the introduction of risk factor dynamics. Asset value changes of a credit portfolio are linked to a dynamic global macroeconometric model, allowing macro effects to be isolated from idiosyncratic shocks. Default probabilities are driven primarily by how firms are tied to business cycles, both domestic and foreign, and how business cycles are linked across countries. The model is able to control for firm-specific heterogeneity as well as generate multi-period forecasts of the entire loss distribution, conditional on specific macroeconomic scenarios.
- Sprache
-
Englisch
- Erschienen in
-
Series: CESifo Working Paper ; No. 995
- Klassifikation
-
Wirtschaft
- Thema
-
risk management
economic interlinkages
loss forecasting
default correlation
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Schuermann, Til
Treutler, Björn-Jakob
Weiner, Scott M.
Pesaran, M. Hashem
- Ereignis
-
Veröffentlichung
- (wer)
-
Center for Economic Studies and ifo Institute (CESifo)
- (wo)
-
Munich
- (wann)
-
2003
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:42 MEZ
Datenpartner
Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Schuermann, Til
- Treutler, Björn-Jakob
- Weiner, Scott M.
- Pesaran, M. Hashem
- Center for Economic Studies and ifo Institute (CESifo)
Entstanden
- 2003
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