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Macroeconomic Default Modeling and Stress …
Macroeconomic Default Modeling and StressTesting Dietske Simons and Ferdinand RolwesDe Nederlandsche BankThis paper applies a Macroeconomic - based model for esti-mating probabilities of Default . The first part of the paperfocuses on the relation between Macroeconomic variables andthe Default behavior of Dutch firms. A convincing relation-ship with GDP growth and oil price and, to a lesser extent,the interest and exchange rate exists. The second part of thepaper assesses the Default behavior based on a Stress scenarioof two consecutive quarters of zero GDP growth as required bythe Basel II framework. It can be concluded that a Stress -testscenario covering two quarters of zero GDP growth does notinfluence the Default rate significantly and thus does not seemto be very Codes: C12, C13, C15, E32, E44, E47, G21, IntroductionEstimating probabilities of Default is the first step in assessing thecredit exposure and potential losses faced by financial of Default are also the basic inputs when evaluati
Macroeconomic Default Modeling and Stress Testing∗ Dietske Simons and Ferdinand Rolwes De Nederlandsche Bank This paper applies a macroeconomic-based …
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