Bardos, Mireille; Moquet, Jeremy; Kendaoui, Ludovic; … - Université Paris-Dauphine (Paris IX) - 2009
The aim of this paper is to build and estimate a macroeconomic model of credit risk for the French manufacturing sector. This model is based on Wilson’s Credit Portfolio View model (1997a, 1997b); it enables us to simulate loss distributions for a credit portfolio for several macroeconomic...