کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
964117 | 930480 | 2011 | 22 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Modeling default probabilities: The case of Brazil
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موضوعات مرتبط
علوم انسانی و اجتماعی
اقتصاد، اقتصادسنجی و امور مالی
اقتصاد و اقتصادسنجی
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چکیده انگلیسی
Using disaggregated data from the Brazilian stock market, we calculate default probabilities for 30 different economic sectors. Empirical results suggest that domestic macroeconomic factors can explain these default probabilities. In addition, we construct the Minimum Spanning Tree (MST) and the ultrametric hierarchical tree with the MST based on default probabilities to disclose common trends, which reveals that some sectors form clusters. The results of this paper imply that macroeconomic variables have distinct effects on default probabilities, which is important to take into account in credit risk modeling and the generation of stress test scenarios.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of International Financial Markets, Institutions and Money - Volume 21, Issue 4, October 2011, Pages 513-534
Journal: Journal of International Financial Markets, Institutions and Money - Volume 21, Issue 4, October 2011, Pages 513-534
نویسندگان
Benjamin M. Tabak, André Victor D. Luduvice, Daniel O. Cajueiro,