Items related to Macroeconomic Default Modeling and Stress Testing
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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- PublisherBiblioGov
- Publication date2012
- ISBN 10 1249557674
- ISBN 13 9781249557678
- BindingPaperback
- Number of pages32
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Macroeconomic Default Modeling and Stress Testing
Published by
BiblioGov
(2012)
ISBN 10: 1249557674
ISBN 13: 9781249557678
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Softcover
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Book Description Condition: New. KlappentextThis 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 . Seller Inventory # 6485720
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