Macroeconomic default modeling and stress testing

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Macroeconomic default modeling and stress testing

international Journal of Central Banking - Badan Organisasi;

This paper applies a macroeconomic-based model for estimating probabilities of default. The first part of the paper focuses on the relation between macroeconomic variables and the default behavior of Dutch firms. A convincing relationship with GDP growth and oil price and, to a lesser extent, the interest and exchange rate exists. The second part of the paper assesses the default behavior based on a stress scenario of two consecutive quarters of zero GDP growth as required by the Basel II framework. It can be concluded that a stress-test scenario covering two quarters of zero GDP growth does not influence the default rate significantly and thus does not seem to be very severe.

Ketersediaan

Perpustakaan IAIN Kediri (Koleksi BI Corner) 339 INT m

1600316

Tersedia

Informasi Detail

Judul Seri: -
No. Panggil: 339 INT m
Penerbit: USA : Central Banking USA., 2016
Deskripsi Fisik: 177-204 hlm., ilus., bibl. ; 25 cm
Bahasa: English
ISBN/ISSN: 9781249557678
Klasifikasi: 339
Tipe Isi: -
Tipe Media: -
Tipe Pembawa: -
Edisi: -
Subjek: Makro ekonomi
Info Detail Spesifik: -
Pernyataan Tanggungjawab: international Journal of Central Banking (IJBC)

Versi lain/terkait

Judul	Edisi	Bahasa
Macro economics : economic crisis update / Charles I. Jones		1

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