Predicting and hedging credit portfolio risk with macroeconomic factors:
Saved in:
| Main Author: | |
|---|---|
| Format: | Thesis Book |
| Language: | English |
| Published: |
Hamburg
Kovač
2002
|
| Series: | Schriftenreihe Finanzmanagement
6 |
| Subjects: | |
| Online Access: | Inhaltsverzeichnis |
| Physical Description: | 251 S. graph. Darst. |
| ISBN: | 3830005989 |
Staff View
MARC
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| 100 | 1 | |a Bär, Tobias |e Verfasser |4 aut | |
| 245 | 1 | 0 | |a Predicting and hedging credit portfolio risk with macroeconomic factors |c Tobias Bär |
| 264 | 1 | |a Hamburg |b Kovač |c 2002 | |
| 300 | |a 251 S. |b graph. Darst. | ||
| 336 | |b txt |2 rdacontent | ||
| 337 | |b n |2 rdamedia | ||
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| 490 | 1 | |a Schriftenreihe Finanzmanagement |v 6 | |
| 502 | |a Zugl.: Frankfurt (Main), Univ., Diss., 2001 | ||
| 650 | 4 | |a Credit |x Management | |
| 650 | 4 | |a Credit |x Management |z Germany | |
| 650 | 4 | |a Risk management | |
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Table of Contents
Preface
........................................................................................................9
Index of Figures
.......................................................................................11
Index of Tables
.........................................................................................13
Index of Symbols
......................................................................................15
Index of Abbreviations
............................................................................19
1
Overview
................................................................................................21
2
Theoretical framework
.........................................................................29
2.1
Macroeconomic causes of default
.....................................................29
2.1.1
Definition of default
................................................................30
2.1.2
Previous literature on the relationship between macroeconomic
factors and default rates
...........................................................32
2.1.2.1
Theoretical models
......................................................32
.2.1.1
Asset value-based default models
................33
.2.1.2
Intensity-based default models
....................36
.2.1.3
Discrete simplifications of Cox processes
... 39
.2.1.4
Moral hazard models
...................................40
2.1.2.2
Empirical models
........................................................45
.2.2.1
Rudimentary empirical models
....................46
.2.2.2
Data-driven models
.....................................49
.2.2.3
Models for speculative rated bond defaults..
54
.2.2.4
Macroeconomic conditioning of rating
migration matrices
.......................................58
2.1.2.2.5
Mortgage default models
.............................59
2.1.2.3
Summary of previous literature
...................................61
2.1.3
Default contagion
.....................................................................62
2.1.3.1
Previous literature on contagion
..................................63
2.1.3.2
A default model with contagion
..................................67
2.2
Defining systematic credit risk
.........................................................73
2.2.1
The systematic risk component in the major credit portfolio
risk models
..............................................................................74
2.2.1.1
KMV
...........................................................................75
2.2.1.2
CreditMetrics
..............................................................77
2.2.1.3
Оч^Ш^
.................................................................79
2.2.1.4
CreditPortfolioView
....................................................80
2.2.2
Pinning down the essence of systematic credit risk
..................81
-6-
2.2.2.1
Expected versus unexpected defaults
...........................82
2.2.2.2
Systematic versus idiosyncratic risk
............................83
2.2.2.2.1
Granularity
..................................................83
2.2.2.2.2
Market portfolio versus risk segments
.........85
2.2.2.2.3
Dichev s objection to systematic default risk
88
2.2.2.3
Default-mode versus mark-to-market paradigm
...........89
2.2.3
A model for systematic credit portfolio risk
.............................93
2.3
The idea of a macroeconomic hedge of credit portfolio risk
.............99
2.3.1
The objective of credit risk hedges
.........................................101
2.3.2
Linking the objective of a credit risk hedge to macroeconomic
factors
....................................................................................105
2.3.3
Comparison of credit derivatives and macroeconomic derivatives
as hedging tools
.....................................................................108
2.4
Summary of theoretical framework
................................................111
3
Predicting default rates
......................................................................113
3.1
Scope of analysis
............................................................................114
3.1.1
Choice of risk segments
.........................................................114
3.1.2
Business failure rate as the dependent variable
......................119
3.2
Approach
........................................................................................121
3.2.1
Identification of the lines of default contagion
.......................124
3.2.2
Selection of other macroeconomic factors
.............................127
3.2.3
Fitting multivariate industry-specific models
.........................134
3.2.4
Summary of approach
............................................................137
3.3
Empirical results
............................................................................139
3.3.1
German default rate data
........................................................139
3.3.1.1
Availability and derivation of business failure rate
data
...........................................................................140
3.3.1.2
Seasonal patterns
.......................................................146
3.3.1.3
Descriptive statistics on German business failure
rates
...........................................................................148
3.3.2
Empirical model specification
................................................150
3.3.2.1
Identification of the lines of default contagion
..........151
3.3.2.2
Selection of other potential macroeconomic factors..
154
3.3.2.2.1
Factors suggested by the literature and
economic theory
........................................154
3.3.2.2.2
German macroeconomic data
....................157
3.3.2.3
Univariate identification of significant factors
...........163
3.3.2.4
Identification of main factors of influence
.................167
3.3.2.5
Excursus: Test of principal components as explanatory
-7-
factors
.......................................................................171
3.3.2.6
Fitting multivariate industry-specific models
............174
3.3.3Testing of the empirical models
.............................................182
3.3.4
Summary of the prediction of default rates
............................186
4
Explanatory model for systematic credit risk
...................................189
4.1
Approach
........................................................................................190
4.2
Empirical results
............................................................................195
4.2.1
Data
.......................................................................................197
4.2.2
Identification of explanatory factors
......................................198
4.2.3
Fitting multivariate industry-specific models
.........................203
4.2.4
Summary and interpretation of the empirical investigation of the
causes of systematic credit risk
..............................................208
5
Implementation of a credit risk hedge with
macroeconomic
derivatives
...........................................................................................213
5.1
Selection of an approach to VaR measurement
..............................214
5.2
Estimating VaR as a function of
macroeconomic
factors
...............216
5.3
Practical considerations in the design of derivative instruments and
hedging strategy
.............................................................................226
5.3.1
Potential counterparties for
macroeconomic
derivatives
........227
5.3.2
Design criteria
........................................................................228
5.3.3
Suggested prototype
...............................................................230
5.4
Evaluation criteria
..........................................................................234
6
Summary
.............................................................................................239
References
...............................................................................................243
|
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| id | DE-604.BV014200878 |
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| indexdate | 2024-07-09T18:59:29Z |
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| spelling | Bär, Tobias Verfasser aut Predicting and hedging credit portfolio risk with macroeconomic factors Tobias Bär Hamburg Kovač 2002 251 S. graph. Darst. txt rdacontent n rdamedia nc rdacarrier Schriftenreihe Finanzmanagement 6 Zugl.: Frankfurt (Main), Univ., Diss., 2001 Credit Management Credit Management Germany Risk management Value at Risk (DE-588)4519495-6 gnd rswk-swf Makroökonomisches Modell (DE-588)4074486-3 gnd rswk-swf Risikomanagement (DE-588)4121590-4 gnd rswk-swf Marktrisiko (DE-588)4506224-9 gnd rswk-swf Kreditrisiko (DE-588)4114309-7 gnd rswk-swf Deutschland (DE-588)4113937-9 Hochschulschrift gnd-content Kreditrisiko (DE-588)4114309-7 s Risikomanagement (DE-588)4121590-4 s Marktrisiko (DE-588)4506224-9 s Value at Risk (DE-588)4519495-6 s Makroökonomisches Modell (DE-588)4074486-3 s DE-604 Schriftenreihe Finanzmanagement 6 (DE-604)BV013087358 6 Digitalisierung UB Regensburg application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=009735176&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Bär, Tobias Predicting and hedging credit portfolio risk with macroeconomic factors Schriftenreihe Finanzmanagement Credit Management Credit Management Germany Risk management Value at Risk (DE-588)4519495-6 gnd Makroökonomisches Modell (DE-588)4074486-3 gnd Risikomanagement (DE-588)4121590-4 gnd Marktrisiko (DE-588)4506224-9 gnd Kreditrisiko (DE-588)4114309-7 gnd |
| subject_GND | (DE-588)4519495-6 (DE-588)4074486-3 (DE-588)4121590-4 (DE-588)4506224-9 (DE-588)4114309-7 (DE-588)4113937-9 |
| title | Predicting and hedging credit portfolio risk with macroeconomic factors |
| title_auth | Predicting and hedging credit portfolio risk with macroeconomic factors |
| title_exact_search | Predicting and hedging credit portfolio risk with macroeconomic factors |
| title_full | Predicting and hedging credit portfolio risk with macroeconomic factors Tobias Bär |
| title_fullStr | Predicting and hedging credit portfolio risk with macroeconomic factors Tobias Bär |
| title_full_unstemmed | Predicting and hedging credit portfolio risk with macroeconomic factors Tobias Bär |
| title_short | Predicting and hedging credit portfolio risk with macroeconomic factors |
| title_sort | predicting and hedging credit portfolio risk with macroeconomic factors |
| topic | Credit Management Credit Management Germany Risk management Value at Risk (DE-588)4519495-6 gnd Makroökonomisches Modell (DE-588)4074486-3 gnd Risikomanagement (DE-588)4121590-4 gnd Marktrisiko (DE-588)4506224-9 gnd Kreditrisiko (DE-588)4114309-7 gnd |
| topic_facet | Credit Management Credit Management Germany Risk management Value at Risk Makroökonomisches Modell Risikomanagement Marktrisiko Kreditrisiko Deutschland Hochschulschrift |
| url | http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=009735176&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |
| volume_link | (DE-604)BV013087358 |
| work_keys_str_mv | AT bartobias predictingandhedgingcreditportfolioriskwithmacroeconomicfactors |