Une première comparaison des droits à pension des ménages français et américains
AbstractThe aim of this paper is to build and estimate a macroeconomic model of credit risk for the French manufacturing sector. This model is based on Wilson's CreditPortfolioView model (1997a, 1997b); it enables us to simulate loss distributions for a credit portfolio for several macroeconomic scenarios. We implement two simulation procedures based on two assumptions relative to probabilities of default (PDs): in the first procedure, firms are assumed to have identical default probabilities; in the second, individual risk is taken into account. The empirical results indicate that these simulation procedures lead to quite different loss distributions. For instance, a negative one standard deviation shock on output leads to a maximum loss of 3.07% of the financial debt of the French manufacturing sector, with a probability of 99%, under the identical default probability hypothesis versus 2.61% with individual default probabilities.
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Bibliographic InfoPaper provided by Banque de France in its series Working papers with number 280.
Length: 33 pages
Date of creation: 2010
Date of revision:
Consumption and savings; pension funds; social security and public pensions; portfolio choices and investment decisions.;
Find related papers by JEL classification:
- E21 - Macroeconomics and Monetary Economics - - Macroeconomics: Consumption, Saving, Production, Employment, and Investment - - - Consumption; Saving; Wealth
- G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
- G23 - Financial Economics - - Financial Institutions and Services - - - Non-bank Financial Institutions; Financial Instruments; Institutional Investors
- H55 - Public Economics - - National Government Expenditures and Related Policies - - - Social Security and Public Pensions
This paper has been announced in the following NEP Reports:
- NEP-AGE-2010-05-08 (Economics of Ageing)
- NEP-ALL-2010-05-08 (All new papers)
- NEP-CMP-2010-05-08 (Computational Economics)
- NEP-MAC-2010-05-08 (Macroeconomics)
- NEP-RMG-2010-05-08 (Risk Management)
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