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 |
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Penger og Kreditt / Economic Bulletin [473]
1973 (1999)-2012