Credit risk, a macroeconomic model application for Romania

In this study we apply a macroeconomic credit risk model which links a set of macroeconomic factors and industry-specific corporate sector default rates using Romanian data over the time period from 2002:2 to 2007:2. We will model and estimate industry-specific default rates, simulate with Monte Carlo method a loss distribution of a hypothetical corporate credit portfolio and analyze the impact of interest rate developments on the portfolio loss distribution.

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Year of publication:	2008
Authors:	TRENCA, Ioan ; BENYOVSZKI, Annamaria
Published in:	Finante - provocarile viitorului (Finance - Challenges of the Future). - Facultatea de Economie şi Administrarea Afacerilor, ISSN 1583-3712. - Vol. 1.2008, 7, p. 118-126
Publisher:	Facultatea de Economie şi Administrarea Afacerilor
Subject:	macroeconomic credit risk \| credit risk model \| Monte Carlo method \| credit loss distribution \| portfolio stress testing

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Extent:	application/pdf
Type of publication:	Article
Language:	English
Classification:	E00 - Macroeconomics and Monetary Economics. General ; E17 - Forecasting and Simulation ; C82 - Methodology for Collecting, Estimating, and Organizing Macroeconomic Data
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10008556664