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Une première comparaison des droits à pension des ménages français et américains

  • Durant, D.
  • Frey, L.
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    The 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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    File URL: http://www.banque-france.fr/uploads/tx_bdfdocumentstravail/DT280.pdf
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    Paper provided by Banque de France in its series Working papers with number 280.

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    Length: 33 pages
    Date of creation: 2010
    Date of revision:
    Handle: RePEc:bfr:banfra:280
    Contact details of provider: Postal: Banque de France 31 Rue Croix des Petits Champs LABOLOG - 49-1404 75049 PARIS
    Web page: http://www.banque-france.fr/
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