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Credit risk, a macroeconomic model application for Romania

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Author Info

  • Ioan TRENCA
  • Annamaria BENYOVSZKI

    (Babes-Bolyai University Cluj-Napoca)

Abstract

In this study we apply a macroeconomic credit risk model which links a set of macroeconomic factors and industry-specific corporate sector default rates using Romanian data over the time period from 2002:2 to 2007:2. We will model and estimate industry-specific default rates, simulate with Monte Carlo method a loss distribution of a hypothetical corporate credit portfolio and analyze the impact of interest rate developments on the portfolio loss distribution.

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File URL: http://feaa.ucv.ro/FPV/007-17.pdf
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Bibliographic Info

Article provided by University of Craiova, Faculty of Economics and Business Administration in its journal Finance - Challenges of the Future.

Volume (Year): 1 (2008)
Issue (Month): 7 (May)
Pages: 118-126

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Handle: RePEc:aio:fpvfcf:v:1:y:2008:i:7:p:118-126

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Related research

Keywords: macroeconomic credit risk; credit risk model; Monte Carlo method; credit loss distribution; portfolio stress testing;

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