Arbeitspapier
Forecasting Cross-Sections of Frailty-Correlated Default
We propose a novel econometric model for estimating and forecasting cross-sections of time-varying conditional default probabilities. The model captures the systematic variation in corporate default counts across e.g. rating and industry groups by using dynamic factors from a large panel of selected macroeconomic and financial data as well as common unobserved risk factors. All factors are statistically and economically significant and together capture a large part of the time-variation in observed default rates. In this framework we improve the out-of-sample forecasting accuracy associated with conditional default probabilities by about 10-35% in terms of Mean Absolute Error, particularly in years of default stress.
- Sprache
-
Englisch
- Erschienen in
-
Series: Tinbergen Institute Discussion Paper ; No. 08-029/4
- Klassifikation
-
Wirtschaft
Multiple or Simultaneous Equation Models: Panel Data Models; Spatio-temporal Models
Banks; Depository Institutions; Micro Finance Institutions; Mortgages
- Thema
-
Non-Gaussian Panel Data
Common Factors
Unobserved Components
Forecasting Conditional Default Probabilities
Kreditrisiko
Prognoseverfahren
Panelforschung
USA
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Koopman, Siem Jan
Lucas, André
Schwaab, Bernd
- Ereignis
-
Veröffentlichung
- (wer)
-
Tinbergen Institute
- (wo)
-
Amsterdam and Rotterdam
- (wann)
-
2008
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:43 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
- Koopman, Siem Jan
- Lucas, André
- Schwaab, Bernd
- Tinbergen Institute
Entstanden
- 2008
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