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Portfolio Credit Risk and Macroeconomic Shocks : : Applications to Stress Testing Under Data-Restricted Environments / / Miguel Segoviano



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Autore: Segoviano Miguel Visualizza persona
Titolo: Portfolio Credit Risk and Macroeconomic Shocks : : Applications to Stress Testing Under Data-Restricted Environments / / Miguel Segoviano Visualizza cluster
Pubblicazione: Washington, D.C. : , : International Monetary Fund, , 2006
Descrizione fisica: 1 online resource (52 p.)
Soggetto topico: Risk
Bank investments
Bank loans
Bank capital
Banks and Banking
Finance: General
Financial Risk Management
Industries: Financial Services
Money and Monetary Policy
Mathematical Methods
Econometric and Statistical Methods: Other
Model Evaluation and Selection
Optimization Techniques
Programming Models
Dynamic Analysis
Business Fluctuations
Cycles
Banks
Depository Institutions
Micro Finance Institutions
Mortgages
Financing Policy
Financial Risk and Risk Management
Capital and Ownership Structure
Value of Firms
Goodwill
International Financial Markets
Financial Institutions and Services: Government Policy and Regulation
Monetary Policy, Central Banking, and the Supply of Money and Credit: General
Finance
Financial services law & regulation
Banking
Monetary economics
Credit risk
Loans
Asset valuation
Stress testing
Financial regulation and supervision
Financial institutions
Financial sector policy and analysis
Asset and liability management
Credit
Money
Financial risk management
Asset-liability management
Banks and banking
Soggetto geografico: Denmark
Note generali: "December 2006."
Nota di bibliografia: Includes bibliographical references (p. 45-50).
Nota di contenuto: ""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""
Sommario/riassunto: 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.
Titolo autorizzato: Portfolio Credit Risk and Macroeconomic Shocks  Visualizza cluster
ISBN: 1-4623-3062-2
1-4527-6224-4
1-283-51662-4
9786613829078
1-4519-0996-9
Formato: Materiale a stampa
Livello bibliografico Monografia
Lingua di pubblicazione: Inglese
Record Nr.: 9910788699403321
Lo trovi qui: Univ. Federico II
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Serie: IMF Working Papers; Working Paper ; ; No. 2006/283