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Macroeconomic Default Modeling and Stress Testing
Paperback
Publisher Price: $15.75
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ISBN10: 1249557674
ISBN13: 9781249557678
Publisher: Bibliogov
Published: Sep 27 2012
Pages: 32
Weight: 0.17
Height: 0.07 Width: 7.44 Depth: 9.69
Language: English
ISBN13: 9781249557678
Publisher: Bibliogov
Published: Sep 27 2012
Pages: 32
Weight: 0.17
Height: 0.07 Width: 7.44 Depth: 9.69
Language: English
This paper applies a macroeconomic-based model for estimating probabilities of default. The first part of the paper focuses on the relation between macroeconomic variables and the default behavior of Dutch firms. A convincing relationship with GDP growth and oil price and, to a lesser extent, the interest and exchange rate exists. The second part of the paper assesses the default behavior based on a stress scenario of two consecutive quarters of zero GDP growth as required by the Basel II framework. It can be concluded that a stress-test scenario covering two quarters of zero GDP growth does not influence the default rate significantly and thus does not seem to be very severe.
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