Business cycle effects on Portfolio Credit Risk: scenario generation through Dynamic Factor analysis
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- Gabriel Illanes & Alejandro Pena & Andrés Sosa, 2014. "Un Modelo Macroeconómico del Riesgo de Crédito en Uruguay," Documentos de trabajo 2014002, Banco Central del Uruguay.
- Petr Jakubík, 2006. "Does Credit Risk Vary with Economic Cycles? The Case of Finland," Working Papers IES 2006/11, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies, revised Apr 2006.
More about this item
KeywordsRisk management default correlation Dynamic Factor;
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
- E17 - Macroeconomics and Monetary Economics - - General Aggregative Models - - - Forecasting and Simulation: Models and Applications
- G20 - Financial Economics - - Financial Institutions and Services - - - General
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2005-04-16 (All new papers)
- NEP-FIN-2005-04-16 (Finance)
- NEP-MAC-2005-04-16 (Macroeconomics)
- NEP-RMG-2005-04-16 (Risk Management)
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