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Macroeconomic Default Modeling and Stress Testing

Dietske Simons

ISBN 10: 1249557674 / ISBN 13: 9781249557678
Published by BiblioGov, 2012
Condition: Good Soft cover
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Bibliographic Details

Title: Macroeconomic Default Modeling and Stress ...

Publisher: BiblioGov

Publication Date: 2012

Binding: Paperback

Book Condition: Good

About this title


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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