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Business Cycle Effects on Portfolio Credit Risk: Scenario Generation Through Dynamic Factor Analysis
Year Of Publication: 2005
Month Of Publication: February
Pages: 22
Download Count: 258
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Comment Num: 0
Language: EN
Source:
Who Can Read: Free
Date: 9-6-2007
Publisher: Administrator
Summary
In this paper, we focus on measuring the risk associated to a bank loan portfolio. In particular, wedepart from the standard one factor model representation of portfolio credit risk. In particular, weconsider an hetrogeneous portfolio, and we account for stochastic dependent recoveries. We alsoexamine the influence of either one systemic shock (interpreted as the state of the business cycle) ortwo systemic shocks (interpreted as demand and supply innovations) on portfolio credit risk. Theidentification and estimation of the common shocks is obtained by fitting a Dynamic Factor modelto a large number of macro credit drivers. The scenarios are obtained by employing Montecarlostochastic simulation.
Author(s)
Cipollini, Andrea Sign in to follow this author
Missaglia, Giuseppe Sign in to follow this author
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