A Model for Predicting Aggregated Corporate Credit Risk

dc.contributor.author	Nordal, Kjell Bjørn
dc.contributor.author	Syed, Haseeb
dc.date.accessioned	2018-06-19T08:03:00Z
dc.date.available	2018-06-19T08:03:00Z
dc.date.issued	2010
dc.identifier.issn	1503-8815
dc.identifier.uri	http://hdl.handle.net/11250/2501983
dc.description.abstract	We present a model linking macroeconomic variables directly to an aggregate measure of credit risk in selected industries. The model is an alternative to an approach where firm-specific credit risk is predicted and then aggregated. The model performs well in backtests and it may be used to analyse the development in credit risk in macro stress tests of banks and financial systems.	nb_NO
dc.language.iso	eng	nb_NO
dc.publisher	Norges Bank	nb_NO
dc.rights	Attribution-NonCommercial-NoDerivatives 4.0 Internasjonal	*
dc.rights.uri	http://creativecommons.org/licenses/by-nc-nd/4.0/deed.no	*
dc.title	A Model for Predicting Aggregated Corporate Credit Risk	nb_NO
dc.type	Journal article	nb_NO
dc.subject.nsi	VDP::Samfunnsvitenskap: 200::Økonomi: 210::Samfunnsøkonomi: 212	nb_NO
dc.source.pagenumber	25-34	nb_NO
dc.source.journal	Penger og Kreditt	nb_NO
dc.source.issue	1/2010	nb_NO

Med mindre annet er angitt, så er denne innførselen lisensiert som Attribution-NonCommercial-NoDerivatives 4.0 Internasjonal