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Macroeconomic Default Modeling and Stress Testing
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 fa
Macroeconomic Default Modeling and Stress Testing∗ Dietske Simons and Ferdinand Rolwes De Nederlandsche Bank This paper applies a macroeconomic …
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