Macroeconomic Default Modeling and Stress Testing (Paperback)

This paper applies a macroeconomic-based model for estimating probabilities of default. The first part of the paper focuses on the relation between macroeconomic variables and the default behavior of Dutch firms. A convincing relationship with GDP growth and oil price and, to a lesser extent, the interest and exchange rate exists. The second part of the paper assesses the default behavior based on a stress scenario of two consecutive quarters of zero GDP growth as required by the Basel II framework. It can be concluded that a stress-test scenario covering two quarters of zero GDP growth does not influence the default rate significantly and thus does not seem to be very severe.

General

Imprint:	Bibliogov
Country of origin:	United States
Release date:	September 2012
First published:	September 2012
Creators:	International Journal of Central Banking
Authors:	Dietske Simons • Ferdinand Rowles
Dimensions:	246 x 189 x 2mm (L x W x T)
Format:	Paperback - Trade
Pages:	32
ISBN-13:	978-1-249-55767-8
Categories:	Books > Social sciences > Politics & government > General
LSN:	1-249-55767-4
Barcode:	9781249557678

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