IDEAS home Printed from
MyIDEAS: Log in (now much improved!) to save this article

A Risk Correlation Model for an European Emerging Country and its Integration in a Global Macroeconometric Model

Listed author(s):
  • Stoenescu Cimpoeru Smaranda


    (Academy of Economic Studies, Bucharest)

Registered author(s):

    In this paper we construct and estimate a country-specific macroeconometric risk driver engine which is compatible to the GVAR model and framework developed by Pesaran, Schuermann and Weiner, methodology that makes use of cointegration techniques to link the cyclical or systematic components of firm credit risk with the firm’s own idiosyncratic credit risk. As the general framework in PSW, 2004 lacks a Central-Eastern European component, we propose an extension of the model in order to incorporate a Romanian element. We adapt the Romanian variables and data to the particularities of an emerging economy. The results show that the new estimated component can be use as a theoretically consistent correlation model within a Romanian specific credit portfolio management tool.

    If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.

    File URL:
    Download Restriction: no

    Article provided by Ovidius University of Constantza, Faculty of Economic Sciences in its journal Ovidius University Annals, Economic Sciences Series.

    Volume (Year): X (2010)
    Issue (Month): 1 (May)
    Pages: 819-824

    in new window

    Handle: RePEc:ovi:oviste:v:10:y:2010:i:1:p:819-824
    Contact details of provider: Web page:

    More information through EDIRC

    No references listed on IDEAS
    You can help add them by filling out this form.

    This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

    When requesting a correction, please mention this item's handle: RePEc:ovi:oviste:v:10:y:2010:i:1:p:819-824. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Gheorghiu Gabriela)

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If references are entirely missing, you can add them using this form.

    If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    This information is provided to you by IDEAS at the Research Division of the Federal Reserve Bank of St. Louis using RePEc data.