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

• Autore: Segoviano Miguel
• Pubblicazione: Washington, D.C. : , : International Monetary Fund, , 2006
• Edizione: 1st ed.
• Descrizione fisica: 1 online resource (52 p.)
• Soggetto topico: Risk; Bank investments; Bank loans; Bank capital; Asset and liability management; Asset valuation; Asset-liability management; Banking; Banks and Banking; Banks and banking; Banks; Business Fluctuations; Capital and Ownership Structure; Credit risk; Credit; Cycles; Depository Institutions; Dynamic Analysis; Econometric and Statistical Methods: Other; Finance; Finance: General; Financial Institutions and Services: Government Policy and Regulation; Financial institutions; Financial regulation and supervision; Financial Risk and Risk Management; Financial Risk Management; Financial risk management; Financial sector policy and analysis; Financial services law & regulation; Financing Policy; Goodwill; Industries: Financial Services; International Financial Markets; Loans; Mathematical Methods; Micro Finance Institutions; Model Evaluation and Selection; Monetary economics; Monetary Policy, Central Banking, and the Supply of Money and Credit: General; Money and Monetary Policy; Money; Mortgages; Optimization Techniques; Programming Models; Stress testing; Value of Firms
• 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
• 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.: 9910817596403321
• Lo trovi qui: Univ. Federico II
• Serie: IMF Working Papers; Working Paper ; ; No. 2006/283