Macroeconomic Default Modeling and Stress Testing

Dietske Simons

Published by BiblioGov, 2012
ISBN 10: 1249557674 / ISBN 13: 9781249557678
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Synopsis: 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.

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Title: Macroeconomic Default Modeling and Stress ...
Publisher: BiblioGov
Publication Date: 2012
Binding: Paperback
Book Condition: Good

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Dietske Simons, Ferdinand Rowles
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Book Description Bibliogov, United States, 2012. Paperback. Condition: New. Language: English . Brand New Book ***** Print on Demand *****. 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. Seller Inventory # APC9781249557678

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International Journal of Central Banking
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Dietske Simons, Ferdinand Rowles
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Book Description Bibliogov, United States, 2012. Paperback. Condition: New. Language: English . Brand New Book ***** Print on Demand *****.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. Seller Inventory # APC9781249557678

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