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Credit Risk and Business Cycles: A Credit Portfolio View Approach
Company: Marmara University
Year Of Publication: 2006
Month Of Publication: June
Pages: 16
Download Count: 1226
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Comment Num: 0
Language: EN
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Who Can Read: Free
Date: 7-6-2006
Publisher: Administrator
Summary
Credit risk, the dominant source of risk for banks, has been the focusof research in risk management analysis in the past several years.CreditPortfolioView (an econometric model) is a multifactor model that is used tosimulate the joint conditional distribution of default probabilities for varioussectors of the economy conditional on the value of macroeconomic factors. It isbased on the observation that default probabilities are linked to economy. Whenthe economy worsens, defaults increase; when the economy becomes stronger,defaults decrease. In other words, credit cycles follow business cycles closely.
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Aşkar, Mahir Sign in to follow this author
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