Verfügbarkeit: Portfolio Credit Risk and Macroeconomic Shocks

Portfolio Credit Risk and Macroeconomic Shocks: Applications to Stress Testing Under Data-Restricted Environments

Portfolio credit risk measurement is greatly affected by data constraints, especially when focusing on loans given to unlisted firms. Standard methodologies adopt convenient, but not necessarily properly specified parametric distributions or simply ignore the effects of macroeconomic shocks on credi...

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1. Verfasser:	Segoviano Basurto, Miguel A. (VerfasserIn)
Format:	Elektronisch E-Book
Sprache:	English
Veröffentlicht:	Washington, D.C International Monetary Fund 2006
Schriftenreihe:	IMF Working Papers Working Paper No. 06/283
Online-Zugang:	UBW01 UEI01 LCO01 SBR01 UER01 SBG01 UBG01 FAN01 UBT01 FKE01 UBY01 UBA01 FLA01 UBM01 UPA01 UBR01 FHA01 FNU01 BSB01 TUM01 Volltext
Zusammenfassung:	Portfolio credit risk measurement is greatly affected by data constraints, especially when focusing on loans given to unlisted firms. Standard methodologies adopt convenient, but not necessarily properly specified parametric distributions or simply ignore the effects of macroeconomic shocks on credit risk. Aiming to improve the measurement of portfolio credit risk, we propose the joint implementation of two new methodologies, namely the conditional probability of default (CoPoD) methodology and the consistent information multivariate density optimizing (CIMDO) methodology. CoPoD incorporates the effects of macroeconomic shocks into credit risk, recovering robust estimators when only short time series of loans exist. CIMDO recovers portfolio multivariate distributions (on which portfolio credit risk measurement relies) with improved specifications, when only partial information about borrowers is available. Implementation is straightforward and can be very useful in stress testing exercises (STEs), as illustrated by the STE carried out within the Danish Financial Sector Assessment Program
Beschreibung:	1 Online-Ressource (50 p)
ISBN:	1451865430 9781451865431

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spelling	Segoviano Basurto, Miguel A. Verfasser aut Portfolio Credit Risk and Macroeconomic Shocks Applications to Stress Testing Under Data-Restricted Environments Segoviano Basurto, Miguel A Washington, D.C International Monetary Fund 2006 1 Online-Ressource (50 p) txt rdacontent c rdamedia cr rdacarrier IMF Working Papers Working Paper No. 06/283 Portfolio credit risk measurement is greatly affected by data constraints, especially when focusing on loans given to unlisted firms. Standard methodologies adopt convenient, but not necessarily properly specified parametric distributions or simply ignore the effects of macroeconomic shocks on credit risk. Aiming to improve the measurement of portfolio credit risk, we propose the joint implementation of two new methodologies, namely the conditional probability of default (CoPoD) methodology and the consistent information multivariate density optimizing (CIMDO) methodology. CoPoD incorporates the effects of macroeconomic shocks into credit risk, recovering robust estimators when only short time series of loans exist. CIMDO recovers portfolio multivariate distributions (on which portfolio credit risk measurement relies) with improved specifications, when only partial information about borrowers is available. Implementation is straightforward and can be very useful in stress testing exercises (STEs), as illustrated by the STE carried out within the Danish Financial Sector Assessment Program Online-Ausg http://elibrary.imf.org/view/IMF001/05324-9781451865431/05324-9781451865431/05324-9781451865431.xml Verlag URL des Erstveröffentlichers Volltext
spellingShingle	Segoviano Basurto, Miguel A. Portfolio Credit Risk and Macroeconomic Shocks Applications to Stress Testing Under Data-Restricted Environments
title	Portfolio Credit Risk and Macroeconomic Shocks Applications to Stress Testing Under Data-Restricted Environments
title_auth	Portfolio Credit Risk and Macroeconomic Shocks Applications to Stress Testing Under Data-Restricted Environments
title_exact_search	Portfolio Credit Risk and Macroeconomic Shocks Applications to Stress Testing Under Data-Restricted Environments
title_exact_search_txtP	Portfolio Credit Risk and Macroeconomic Shocks Applications to Stress Testing Under Data-Restricted Environments
title_full	Portfolio Credit Risk and Macroeconomic Shocks Applications to Stress Testing Under Data-Restricted Environments Segoviano Basurto, Miguel A
title_fullStr	Portfolio Credit Risk and Macroeconomic Shocks Applications to Stress Testing Under Data-Restricted Environments Segoviano Basurto, Miguel A
title_full_unstemmed	Portfolio Credit Risk and Macroeconomic Shocks Applications to Stress Testing Under Data-Restricted Environments Segoviano Basurto, Miguel A
title_short	Portfolio Credit Risk and Macroeconomic Shocks
title_sort	portfolio credit risk and macroeconomic shocks applications to stress testing under data restricted environments
title_sub	Applications to Stress Testing Under Data-Restricted Environments
url	http://elibrary.imf.org/view/IMF001/05324-9781451865431/05324-9781451865431/05324-9781451865431.xml
work_keys_str_mv	AT segovianobasurtomiguela portfoliocreditriskandmacroeconomicshocksapplicationstostresstestingunderdatarestrictedenvironments

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