Transcription of Macroeconomic Default Modeling and Stress …
{{id}} {{{paragraph}}}
Example: bankruptcy
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.
Macroeconomic Default Modeling and Stress Testing∗ Dietske Simons and Ferdinand Rolwes De Nederlandsche Bank This paper applies a …
Loading..
Tags:
Information
Domain:
Source:
Link to this page:
Please notify us if you found a problem with this document:
Related search queries
Chapter 1 Graphical modeling using L-systems, Chapter 1. Graphical modeling using L-systems, Second, Time Response of Second Order Systems, Second order, Thinking About Second & Third Order Effects, First, Introduction to Electrical Systems Modeling, Systems, Modeling, Second-Order Cybernetics, Modeling,Analysis and Compensation of, Dynamic Analysis of Three, Modeling Dielectric Absorption, Dielectric absorption