06871oam 22016334 450 991078869940332120230828235725.01-4623-3062-21-4527-6224-41-283-51662-497866138290781-4519-0996-9(CKB)3360000000443833(EBL)3012542(SSID)ssj0000948582(PQKBManifestationID)11484547(PQKBTitleCode)TC0000948582(PQKBWorkID)10950156(PQKB)10727647(OCoLC)535146946(MiAaPQ)EBC3012542(IMF)WPIEE2006283(EXLCZ)99336000000044383320020129d2006 uf 0engurcn|||||||||txtccrPortfolio Credit Risk and Macroeconomic Shocks : Applications to Stress Testing Under Data-Restricted Environments /Miguel SegovianoWashington, D.C. :International Monetary Fund,2006.1 online resource (52 p.)IMF Working Papers"December 2006."1-4518-6543-0 Includes bibliographical references (p. 45-50).""Contents""; ""I. INTRODUCTION""; ""II. PORTFOLIO CREDIT RISK""; ""III. PROPOSAL TO IMPROVE PORTFOLIO CREDIT RISK MEASUREMENT""; ""IV. PROPOSED PROCEDURE FOR STRESS TESTING""; ""V. STRESS TESTING: EMPIRICAL IMPLEMENTATION IN DENMARK""; ""VI. ANALYSIS OF STRESS TESTING RESULTS""; ""VII. CONCLUSIONS""; ""Appendix 1: Entropy in a Nutshell""; ""References""Portfolio credit risk measurement is greatly affected by data constraints, especially when focusing on loans given to unlisted firms. Standard methodologies adopt convenient, but not necessarily properly specified parametric distributions or simply ignore the effects of macroeconomic shocks on credit risk. Aiming to improve the measurement of portfolio credit risk, we propose the joint implementation of two new methodologies, namely the conditional probability of default (CoPoD) methodology and the consistent information multivariate density optimizing (CIMDO) methodology. CoPoD incorporates the effects of macroeconomic shocks into credit risk, recovering robust estimators when only short time series of loans exist. CIMDO recovers portfolio multivariate distributions (on which portfolio credit risk measurement relies) with improved specifications, when only partial information about borrowers is available. Implementation is straightforward and can be very useful in stress testing exercises (STEs), as illustrated by the STE carried out within the Danish Financial Sector Assessment Program.IMF Working Papers; Working Paper ;No. 2006/283RiskBank investmentsBank loansBank capitalBanks and BankingimfFinance: GeneralimfFinancial Risk ManagementimfIndustries: Financial ServicesimfMoney and Monetary PolicyimfMathematical MethodsimfEconometric and Statistical Methods: OtherimfModel Evaluation and SelectionimfOptimization TechniquesimfProgramming ModelsimfDynamic AnalysisimfBusiness FluctuationsimfCyclesimfBanksimfDepository InstitutionsimfMicro Finance InstitutionsimfMortgagesimfFinancing PolicyimfFinancial Risk and Risk ManagementimfCapital and Ownership StructureimfValue of FirmsimfGoodwillimfInternational Financial MarketsimfFinancial Institutions and Services: Government Policy and RegulationimfMonetary Policy, Central Banking, and the Supply of Money and Credit: GeneralimfFinanceimfFinancial services law & regulationimfBankingimfMonetary economicsimfCredit riskimfLoansimfAsset valuationimfStress testingimfFinancial regulation and supervisionimfFinancial institutionsimfFinancial sector policy and analysisimfAsset and liability managementimfCreditimfMoneyimfFinancial risk managementimfAsset-liability managementimfBanks and bankingimfDenmarkimfRisk.Bank investments.Bank loans.Bank capital.Banks and BankingFinance: GeneralFinancial Risk ManagementIndustries: Financial ServicesMoney and Monetary PolicyMathematical MethodsEconometric and Statistical Methods: OtherModel Evaluation and SelectionOptimization TechniquesProgramming ModelsDynamic AnalysisBusiness FluctuationsCyclesBanksDepository InstitutionsMicro Finance InstitutionsMortgagesFinancing PolicyFinancial Risk and Risk ManagementCapital and Ownership StructureValue of FirmsGoodwillInternational Financial MarketsFinancial Institutions and Services: Government Policy and RegulationMonetary Policy, Central Banking, and the Supply of Money and Credit: GeneralFinanceFinancial services law & regulationBankingMonetary economicsCredit riskLoansAsset valuationStress testingFinancial regulation and supervisionFinancial institutionsFinancial sector policy and analysisAsset and liability managementCreditMoneyFinancial risk managementAsset-liability managementBanks and bankingSegoviano Miguel1464137International Monetary Fund.Monetary and Capital Markets Dept.DcWaIMFBOOK9910788699403321Portfolio Credit Risk and Macroeconomic Shocks3673702UNINA