Granularity in a qualitative factor model

Christian Gourieroux and Alain Monfort

Journal of Credit Risk

Abstract: ABSTRACT This paper provides a unified setting for factor models applied to panels of qualitative observations. This setting includes as special cases the single risk factor model and its multiple factor extensions used in credit risk analysis, the stochastic migration models used for rating dynamics and the factor models for prospective mortality tables. The behavior of these models when the cross-sectional dimension is large is considered and granularity adjustments for the maximum-likelihood estimators of the factor sensitivities are derived. These steps are necessary in order to analyze the effect of estimation risk on measures of credit portfolio risk. The methodology is illustrated by a Monte Carlo study of the finite sample properties of the estimators.

References: Add references at CitEc
Citations:

Downloads: (external link)
https://www.risk.net/journal-credit-risk/2160747/g ... itative-factor-model (text/html)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:rsk:journ1:2160747

Access Statistics for this article

More articles in Journal of Credit Risk from Journal of Credit Risk
Bibliographic data for series maintained by Thomas Paine ().