NDLI: Global business cycles and credit risk

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Global business cycles and credit risk

Content Provider	Library of Congress - Books/Printed Material
Author	Schuermann, Til Pesaran, M. Hashem
Temporal Coverage	2005
Copyright Year	2005
Abstract	"The potential for portfolio diversification is driven broadly by two characteristics: the degree to which systematic risk factors are correlated with each other and the degree of dependence individual firms have to the different types of risk factors. Using a global vector autoregressive macroeconomic model accounting for about 80% of world output, we propose a model for exploring credit risk diversification across industry sectors and across different countries or regions. We find that full firm-level parameter heterogeneity along with credit rating information matters a great deal for capturing differences in simulated credit loss distributions. These differences become more pronounced in the presence of systematic risk factor shocks: increased parameter heterogeneity reduces shock sensitivity. Allowing for regional parameter heterogeneity seems to better approximate the loss distributions generated by the fully heterogenous model than allowing just for industry heterogeneity. The regional model also exhibits less shock sensitivity"--National Bureau of Economic Research web site.
Language	English
Publisher	National Bureau of Economic Research
Publisher Place	Cambridge, MA
Part of Series	Catalog
Requires	HTML5 supported browser
Access Restriction	Open
Subject Keyword	Business Cycles International Finance Mathematical Models Portfolio Management Risk Management
Subject Domain (in LCSH)	Portfolio management--Mathematical models
Subject Domain (in LCSH)	Risk management--Mathematical models
Subject Domain (in LCSH)	Business cycles--Mathematical models
Subject Domain (in LCSH)	International finance--Mathematical models
Subject Domain (in LCC)	HB1
Content Type	Text
Resource Type	Book

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