Macroeconomic Environment and Credit Risk (in English)
The importance of credit-risk models has increased with the introduction of the New Basel Capital Accord (Basel II). This paper follows Merton´s approach to structural analysis, toward default-rate modeling. A latent-factor model is introduced within this framework. Estimation of this model can help further our understanding of the relationship between credit risk and macroeconomic indicators. The results have been used for stress testing the Czech banking sector.
Volume (Year): 57 (2007)
Issue (Month): 1-2 (March)
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John Wiley & Sons, Ltd., vol. 20(2), pages 311-323.
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