Credit risk, a macroeconomic model application for Romania

Ioan Trenca and Annamária Dézsi-Benyovszki ()

Finante - provocarile viitorului (Finance - Challenges of the Future), 2008, vol. 1, issue 7, 118-126

Abstract: In this study we apply a macroeconomic credit risk model which links a set of macroeconomic factors and industry-specific corporate sector default rates using Romanian data over the time period from 2002:2 to 2007:2. We will model and estimate industry-specific default rates, simulate with Monte Carlo method a loss distribution of a hypothetical corporate credit portfolio and analyze the impact of interest rate developments on the portfolio loss distribution.

Keywords: macroeconomic credit risk; credit risk model; Monte Carlo method; credit loss distribution; portfolio stress testing (search for similar items in EconPapers)
JEL-codes: C82 E00 E17 (search for similar items in EconPapers)
Date: 2008
References: View complete reference list from CitEc
Citations: View citations in EconPapers (4)

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Persistent link: https://EconPapers.repec.org/RePEc:aio:fpvfcf:v:1:y:2008:i:7:p:118-126

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