Un modèle multifactoriel des spreads de crédit: estimation sur panels complets et incomplets

Claire Gauthier and Sandrine Lardic ()

Economie & Prévision, 2003, vol. 159, issue 3, 53-69

Abstract: Credit risk is an important source of risk for most banks. While it has been inherent in their financial intermediation activity and identified for a long time, scientific methods for analysing and quantifying this type of risk have emerged onlyrecently.Thismaybeduetothecomplexityandunpredictabilityofthedefaultevent.Themodelproposesatoolfor analysingandforecastingcreditspreadsthatcanhelpmanagersintheirportfoliochoices.Ourapproachismulti-factorial, attemptingtoexplainchangesincreditspreads.Thestudyhasbeenmadeusingapanelofcorporatebondsissuedonthe French market.

Keywords: credit risk; multi factorial model (search for similar items in EconPapers)
Date: 2003
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Journal Article: Un modèle multifactoriel des spreads de crédit: estimation sur panels complets et incomplets (2003)
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