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Un modèle multifactoriel des spreads de crédit : estimation sur panels complets et incomplets

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  • Claire Gauthier
  • Sandrine Lardic

Abstract

Credit risk is an important source of risk for most banks. While it has been inherent in their financial intermediation activity and identified for a long time, scientific methods for analysing and quantifying this type of risk have emerged onlyrecently.Thismaybeduetothecomplexityandunpredictabilityofthedefaultevent.Themodelproposesatoolfor analysingandforecastingcreditspreadsthatcanhelpmanagersintheirportfoliochoices.Ourapproachismulti-factorial, attemptingtoexplainchangesincreditspreads.Thestudyhasbeenmadeusingapanelofcorporatebondsissuedonthe French market.

Suggested Citation

  • Claire Gauthier & Sandrine Lardic, 2003. "Un modèle multifactoriel des spreads de crédit : estimation sur panels complets et incomplets," Economie & Prévision, La Documentation Française, vol. 159(3), pages 53-69.
    • Handle: RePEc:cai:ecoldc:ecop_159_0053
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    Keywords

    credit risk; multi factorial model;

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