Download or read book Portfolio Credit Risk and Macroeconomic Shocks written by Segoviano Basurto and published by . This book was released on 2007 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Portfolio Credit Risk and Macroeconomic Shocks written by Miguel A. Segoviano Basurto and published by International Monetary Fund. This book was released on 2006-12 with total page 56 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.
Download or read book Portfolio Credit Risk and Macroeconomic Shocks written by Miguel A. Segoviano and published by . This book was released on 2006 with total page 50 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Assessing portfolio credit risk changes in a sample of EU large and complex banking groups in reaction to macroeconomic shocks written by Olli Castrén and published by . This book was released on 2009 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Transmission of Macroeconomic Shocks to Risk Parameters written by Helder Rojas and published by . This book was released on 2019 with total page 34 pages. Available in PDF, EPUB and Kindle. Book excerpt: In this paper, we are interested in evaluating the resilience of financial portfolios under extreme economic conditions. Therefore, we use empirical measures to characterize the transmission process of macroeconomic shocks to risk parameters. We propose the use of an extensive family of models, called General Transfer Function Models, which condense well the characteristics of the transmission described by the impact measures. The procedure for estimating the parameters of these models is described employing the Bayesian approach and using the prior information provided by the impact measures. In addition, we illustrate the use of the estimated models from the credit risk data of a portfolio.
Download or read book Macro Financial Linkages in Egypt written by Inessa Love and published by International Monetary Fund. This book was released on 2013-12-30 with total page 40 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper investigates macro-financial linkages in Egypt using two complementary methods, assessing the interaction between different macroeconomic aggregates and loan portfolio quality in a multivariate framework as well as through a panel vector autoregressive method that controls for bank-level characteristics. Using a panel of banks over 1993-2010, the authors find that a positive shock to capital inflows and growth in gross domestic product improves banks’ loan portfolio quality, and that the effect is fairly similar in magnitude using the multivariate and panel vector autoregressive frameworks. In contrast, higher lending rates may lead to adverse selection problems and hence to a drop in portfolio quality. The paper also reports that a larger market share of foreign banks in the industry improves loan quality.
Download or read book Macro Financial Linkages and Heterogeneous Non Performing Loans Projections written by Francesco Grigoli and published by International Monetary Fund. This book was released on 2016-12-07 with total page 28 pages. Available in PDF, EPUB and Kindle. Book excerpt: We propose a stress testing framework of credit risk, which analyzes macro-financial linkages, generates consistent forecasts of macro-financial variables, and projects non-performing loans (NPL) on the basis of such forecasts. Economic contractions are generally associated with increases in NPL. However, despite the common assumption used in the empirical literature of homogeneous impact across banks, the strength of this relationship is often bank-specific, and imposing homogeneity may lead to over or underestimating the resilience of the financial system to macroeconomic woes. Our approach accounts for banks’ heterogeneous reaction to macro-financial shocks in a dynamic context and potential cross-sectional dependence across banks caused by common shocks. An application to Ecuador suggests that substantial heterogeneity is present and that this should be taken into account when trying to anticipate inflections in the quality of portfolio.
Download or read book Dynamic Modeling of Portfolio Credit Risk with Common Shocks written by Tomasz R. Bielecki and published by . This book was released on 2011 with total page 35 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Macroeconomics and Credit Risk written by M. Hashem Pesaran and published by . This book was released on 2006 with total page 60 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper presents a new approach to modeling conditional credit loss distributions. Asset value changes of firms in a credit portfolio are linked to a dynamic global macroeconometric model, allowing macro effects to be isolated from idiosyncratic shocks from the perspective of default (and hence loss). Default probabilities are driven primarily by how firms are tied to business cycles, both domestic and foreign, and how business cycles are linked across countries. We allow for firm-specific business cycle effects and the heterogeneity of firm default thresholds using credit ratings. The model can be used, for example, to compute the effects of a hypothetical negative equity price shock in South East Asia on the loss distribution of a credit portfolio with global exposures over one or more quarters. We show that the effects of such shocks on losses are asymmetric and non-proportional, reflecting the highly non-linear nature of the credit risk model.
Download or read book Dynmaic Modelling of Portfolio Credit Risk with Common Shocks written by and published by . This book was released on 2011 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Wealth Shocks Credit Supply Shocks and Asset Allocation written by Thomas K. Kick and published by . This book was released on 2016 with total page 56 pages. Available in PDF, EPUB and Kindle. Book excerpt: We use a unique dataset with bank clients' security holdings for all German banks to examine how macroeconomic shocks affect asset allocation preferences of households and non-financial firms. Our analysis focuses on two alternative mechanisms which can influence portfolio choice: wealth shocks, which are represented by the sovereign debt crisis in the Eurozone, and credit-supply shocks which arise from reductions in borrowing abilities during bank distress. We document heterogeneous responses to these two types of shocks. While households with large holdings of securities from stressed Eurozone countries (Greece, Ireland, Italy, Portugal, and Spain) decrease the degree of concentration in their security portfolio as a result of the Eurozone crisis, non-financial firms with similar levels of holdings from stressed Eurozone countries do not. Credit-supply shocks at the bank level (caused by bank distress) result in lower concentration, for both households and non-financial corporations. We also show that only shocks to corporate credit bear ramifications on bank clients' portfolio concentration, while shocks in retail credit are inconsequential. Our results are robust to falsification tests, propensity score matching techniques, and instrumental variables estimation.
Download or read book Predicting and Hedging Credit Portfolio Risk with Macroeconomic Factors written by Tobias Bär and published by . This book was released on 2002 with total page 251 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Livres fran ais de science politique written by and published by . This book was released on 1961 with total page 52 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Global Business Cycles and Credit Risk written by M. Hashem Pesaran and published by . This book was released on 2005 with total page 55 pages. Available in PDF, EPUB and Kindle. Book excerpt: "The potential for portfolio diversification is driven broadly by two characteristics: the degree to which systematic risk factors are correlated with each other and the degree of dependence individual firms have to the different types of risk factors. Using a global vector autoregressive macroeconomic model accounting for about 80% of world output, we propose a model for exploring credit risk diversification across industry sectors and across different countries or regions. We find that full firm-level parameter heterogeneity along with credit rating information matters a great deal for capturing differences in simulated credit loss distributions. These differences become more pronounced in the presence of systematic risk factor shocks: increased parameter heterogeneity reduces shock sensitivity. Allowing for regional parameter heterogeneity seems to better approximate the loss distributions generated by the fully heterogenous model than allowing just for industry heterogeneity. The regional model also exhibits less shock sensitivity"--National Bureau of Economic Research web site.
Download or read book A Primer on Managing Sovereign Debt Portfolio Risks written by Thordur Jonasson and published by International Monetary Fund. This book was released on 2018-04-06 with total page 133 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper provides an overview of sovereign debt portfolio risks and discusses various liability management operations (LMOs) and instruments used by public debt managers to mitigate these risks. Debt management strategies analyzed in the context of helping reach debt portfolio targets and attain desired portfolio structures. Also, the paper outlines how LMOs could be integrated into a debt management strategy and serve as policy tools to reduce potential debt portfolio vulnerabilities. Further, the paper presents operational issues faced by debt managers, including the need to develop a risk management framework, interactions of debt management with fiscal policy, monetary policy, and financial stability, as well as efficient government bond markets.
Download or read book Nonperforming Loans in the GCC Banking System and their Macroeconomic Effects written by Mr.Raphael A. Espinoza and published by International Monetary Fund. This book was released on 2010-10-01 with total page 26 pages. Available in PDF, EPUB and Kindle. Book excerpt: According to a dynamic panel estimated over 1995 - 2008 on around 80 banks in the GCC region, the NPL ratio worsens as economic growth becomes lower and interest rates and risk aversion increase. Our model implies that the cumulative effect of macroeconomic shocks over a three year horizon is indeed large. Firm-specific factors related to risk-taking and efficiency are also related to future NPLs. The paper finally investigates the feedback effect of increasing NPLs on growth using a VAR model. According to the panel VAR, there could be a strong, albeit short-lived feedback effect from losses in banks’ balance sheets on economic activity, with a semi-elasticity of around 0.4.
Download or read book Dealing with the Challenges of Macro Financial Linkages in Emerging Markets written by Otaviano Canuto and published by World Bank Publications. This book was released on 2013-10-29 with total page 307 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book deals with the challenges of macro financial linkages in the emerging markets.
