کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
999010 936762 2013 11 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Cyclical default and recovery in stress testing loan losses
موضوعات مرتبط
علوم انسانی و اجتماعی اقتصاد، اقتصادسنجی و امور مالی اقتصاد، اقتصادسنجی و مالیه (عمومی)
پیش نمایش صفحه اول مقاله
Cyclical default and recovery in stress testing loan losses
چکیده انگلیسی

We present a macro variable-based empirical model for corporate bank loans’ credit risk. The model captures the well-known positive relationship between probability of default (PD) and loss given default (LGD; i.e., the inverse of recovery) and their counter-cyclical movement with the business cycle. In the absence of proper micro data on LGD, we use a random-sampling method to estimate the annual average LGD. We specify a two equation model for PD and LGD which is estimated with Finnish time-series data from 1989 to 2008. We also use a system of time-series models for the exogenous macro variables to derive the main macroeconomic shocks which are then used in stress testing aggregate loan losses. We show that the endogenous LGD makes a considerable difference in stress tests compared to a constant LGD assumption.


► We present a macro variable-based empirical model for corporate bank loans’ credit risk.
► We model the positive relationship between probability of default (PD) and loss given default (LGD) and their counter-cyclical movement.
► In the absence of micro data on LGD, we use a random-sampling method to estimate the annual average LGD.
► We specify a two equation model for PD and LGD which is estimated with Finnish time-series data from 1989 to 2008.
► We show that the endogenous LGD makes a considerable difference in stress tests compared to a constant LGD assumption.

ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Financial Stability - Volume 9, Issue 1, April 2013, Pages 139–149
نویسندگان
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