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Credit risk, a macroeconomic model application for Romania

Author

Listed:
  • 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.

Suggested Citation

  • Ioan TRENCA & Annamaria BENYOVSZKI, 2008. "Credit risk, a macroeconomic model application for Romania," Finante - provocarile viitorului (Finance - Challenges of the Future), University of Craiova, Faculty of Economics and Business Administration, vol. 1(7), pages 118-126, May.
  • Handle: RePEc:aio:fpvfcf:v:1:y:2008:i:7:p:118-126
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    File URL: http://feaa.ucv.ro/FPV/007-17.pdf
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    Cited by:

    1. Ruja, Catalin, 2014. "Macro Stress-Testing Credit Risk in Romanian Banking System," MPRA Paper 58244, University Library of Munich, Germany.

    More about this item

    Keywords

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

    JEL classification:

    • E00 - Macroeconomics and Monetary Economics - - General - - - General
    • E17 - Macroeconomics and Monetary Economics - - General Aggregative Models - - - Forecasting and Simulation: Models and Applications
    • C82 - Mathematical and Quantitative Methods - - Data Collection and Data Estimation Methodology; Computer Programs - - - Methodology for Collecting, Estimating, and Organizing Macroeconomic Data; Data Access

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