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

Author

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  • Durant, D.
  • Frey, L.

Abstract

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.

Suggested Citation

  • Durant, D. & Frey, L., 2010. "Une première comparaison des droits à pension des ménages français et américains," Working papers 280, Banque de France.
  • Handle: RePEc:bfr:banfra:280
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    1. repec:bla:revinw:v:63:y:2017:i:1:p:70-94 is not listed on IDEAS

    More about this item

    Keywords

    Consumption and savings; pension funds; social security and public pensions; portfolio choices and investment decisions.;

    JEL classification:

    • E21 - Macroeconomics and Monetary Economics - - 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

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