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Modeling Banking, Sovereign, and Macro Risk in a CCA Global VAR

Modeling Banking, Sovereign, and Macro Risk in a CCA Global VAR »

Volume/Issue: 2013/218

Series: IMF Working Papers

Author(s): Dale Gray

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 23 October 2013

DOI: http://dx.doi.org/10.5089/9781484322185.001

ISBN: 9781484322185

Keywords: contingent claims analysis (CCA), global vector autoregression (GVAR), banking, banking systems, banking system, sovereign risk, Model Construction and Estimation,

The purpose of this paper is to develop a model framework for the analysis of interactions between banking sector risk, sovereign risk, corporate sector risk, real economic activity, and credit growth for 15 Europe...

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

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

Volume/Issue: 2006/283

Series: IMF Working Papers

Author(s): Miguel Segoviano Basurto

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 December 2006

DOI: http://dx.doi.org/10.5089/9781451865431.001

ISBN: 9781451865431

Keywords: Portfolio credit risk measurement, macroeconomic shock measurement, multivariate density estimation, entropy distribution, credit risk, probability, equation, probabilities, Econometric and Statistical Methods: Other, Model Evaluation and Selection

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...

Modeling Banking, Sovereign, and Macro Risk in a CCA Global VAR

Modeling Banking, Sovereign, and Macro Risk in a CCA Global VAR »

Source: Modeling Banking, Sovereign, and Macro Risk in a CCA Global VAR

Volume/Issue: 2013/218

Series: IMF Working Papers

Author(s): Dale Gray

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 23 October 2013

ISBN: 9781484322185

Keywords: contingent claims analysis (CCA), global vector autoregression (GVAR), banking, banking systems, banking system, sovereign risk, Model Construction and Estimation,

The purpose of this paper is to develop a model framework for the analysis of interactions between banking sector risk, sovereign risk, corporate sector risk, real economic activity, and credit growth for 15 Europe...

Portfolio Credit Risk and Macroeconomic Shocks

Portfolio Credit Risk and Macroeconomic Shocks »

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

Volume/Issue: 2006/283

Series: IMF Working Papers

Author(s): Miguel Segoviano Basurto

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 December 2006

ISBN: 9781451865431

Keywords: Portfolio credit risk measurement, macroeconomic shock measurement, multivariate density estimation, entropy distribution, credit risk, probability, equation, probabilities, Econometric and Statistical Methods: Other, Model Evaluation and Selection

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...