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Macroeconomic dynamics and credit risk : a global perspective
Schuermann, Til; Treutler, Björn-Jakob; Weiner, Scott M.; … - 2003
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...
Persistent link: https://www.econbiz.de/10011508097
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Global business cycles and credit risk
Pesaran, M. Hashem (contributor);  … - 2005
risk factors. Using a global vector autoregressive macroeconometric model accounting for about 80% of world output, we …
Persistent link: https://www.econbiz.de/10003201686
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Global business cycles and credit risk
Pesaran, M. Hashem; Schuermann, Til; Treutler, Björn-Jakob - 2005
Persistent link: https://www.econbiz.de/10003087235
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Global business cycles and credit risk
Pesaran, M. Hashem (contributor);  … - 2005
Persistent link: https://www.econbiz.de/10002962300
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Macroeconomic dynamics and credit risk : a global perspective
Pesaran, M. Hashem; Schuermann, Til; Treutler, Björn-Jakob - 2003
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...
Persistent link: https://www.econbiz.de/10001784147
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Macroeconomics dynamics and credit risk : a global perspective
Pesaran, M. Hashem (contributor);  … - 2003 - [Elektronische Ressource]
Persistent link: https://www.econbiz.de/10001766064
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Macroeconomic dynamics and credit risk : a global perspective
Pesaran, M. Hashem; Schuermann, Til; Treutler, Björn-Jakob - 2003 - [Elektronische Ressource]
Persistent link: https://www.econbiz.de/10001754527