Portfolio Credit Risk and Macroeconomic Shocks : Applications to Stress Testing Under Data-Restricted Environments /

Portfolio Credit Risk and Macroeconomic Shocks : Applications to Stress Testing Under Data-Restricted Environments /

Portfolio credit risk measurement is greatly affected by data constraints, especially when focusing on loans given to unlisted firms. Standard methodologies adopt convenient, but not necessarily properly specified parametric distributions or simply ignore the effects of macroeconomic shocks on credi...

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Bibliografiske detaljer
Hovedforfatter:	Segoviano, Miguel
Format:	Tidsskrift
Sprog:	English
Udgivet:	Washington, D.C. : International Monetary Fund, 2006.
Serier:	IMF Working Papers; Working Paper ; No. 2006/283
Online adgang:	Full text available on IMF

Lignende værker

Risk Diversification in the Credit Portfolio : An Overview of Country Practices /
af: Morris, JoAnne
Udgivet: (2001)

Macroeconomics Impacts of Energy Shocks
af: Huntington, H.G
Udgivet: (1987)

Macroeconomics Impacts of Energy Shocks
af: Huntington, H.G
Udgivet: (1987)

Probabilities of Default and the Market Price of Risk in a Distressed Economy /
af: Segoviano, Miguel
Udgivet: (2011)

Measuring Integrated Market and Credit Risks in Bank Portfolios : An Application to a Set of Hypothetical Banks Operation in South Africa /
af: Papapanagiotou, Panagiotis
Udgivet: (2000)

International Spillovers of Macroeconomic Shocks : A Quantitative Exploration /
af: Laxton, Douglas
Udgivet: (2000)

Portfolio Management Under Stress
af: Riccardo Rebonato, Alexander Denev
Udgivet: (2013)

Identifying Threshold Effects in Credit Risk Stress Testing /
af: Mendez Morales, Armando
Udgivet: (2004)

Do Credit Shocks Matter? : A Global Perspective /
af: Helbling, Thomas
Udgivet: (2010)

Credit Risk
af: Andrew Kimber
Udgivet: (2004)

Credit Risk
af: Andrew Kimber
Udgivet: (2004)

Sovereign Spreads : Global Risk Aversion, Contagion or Fundamentals? /
af: Segoviano, Miguel
Udgivet: (2010)

The Macroeconomic Relevance of Credit Flows : An Exploration of U.S. Data /
af: Herman, Alexander
Udgivet: (2015)

Macroeconomic Responses to Terms-of-Trade Shocks : A Framework for Policy Analysis for the Argentine Economy /
af: Berkmen, Pelin
Udgivet: (2009)

Credit-Supply Shocks and Firm Productivity in Italy /
af: Dorr, Sebastian
Udgivet: (2017)

Trade Credit and the Effect of Macro-Financial Shocks : Evidence From U.S. Panel Data /
af: Kim, Yungsan
Udgivet: (2003)

Credit Risk Management
af: Andrew Fight
Udgivet: (2004)

Credit risk management
af: Gestel, Tony van

Credit Risk Management
af: Andrew Fight
Udgivet: (2004)

Bond portfolio investing and risk management : positioning fixed income portfolios for robust returns after the financial crisis /
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Udgivet: (2011)

Macroeconomic and Sectoral Effects of Terms-of-Trade Shocks : The Experience of the Oil-Exporting Developing Countries.
Udgivet: (1999)

Pensions, Price Shocks, and Macroeconomic Stability in Transition Economies : Illustrations From Belarus /
af: Lugaresi, Sergio
Udgivet: (1994)

Financial Crises, Macroeconomic Shocks, and the Government Balance Sheet : A Panel Analysis /
af: Ruzzante, Matteo
Udgivet: (2018)

Are Workers' Remittances a Hedge Against Macroeconomic Shocks? : The Case of Sri Lanka /
af: Ruiz-Arranz, Marta
Udgivet: (2007)

Securitization : Lessons Learned and the Road Ahead /
af: Segoviano, Miguel
Udgivet: (2013)

Securitization : The Road Ahead /
af: Segoviano, Miguel
Udgivet: (2015)

A Primer on Managing Sovereign Debt-Portfolio Risks /
af: Jonasson, Thordur
Udgivet: (2018)

Preemptive Policies and Risk-Off Shocks in Emerging Markets /
af: Das, Mitali
Udgivet: (2022)

Credit Booms and Macroeconomic Dynamics : Stylized Facts and Lessons for Low-Income Countries /
af: Arena, Marco
Udgivet: (2015)

Credit Constraints, Productivity Shocks and Consumption Volatility in Emerging Economies /
af: Bhattacharya, Rudrani
Udgivet: (2013)

Macroeconomics and the Environment.
Udgivet: (1996)

Macroeconomic Shocks and Trade Flows within Sub-Saharan Africa : Implications for Optimum Currency Arrangements /
af: Bayoumi, Tamim
Udgivet: (1995)

Monetary Policy and Risk-Premium Shocks in Hungary : Results from a Large Bayesian VAR /
af: Popescu, Adina
Udgivet: (2011)

Stress Testing for Risk Control Under Basel II
af: Dimitris N. Chorafas
Udgivet: (2007)

Stress Testing for Risk Control Under Basel II
af: Dimitris N. Chorafas
Udgivet: (2007)

Sovereign Risk, Fiscal Policy, and Macroeconomic Stability /
af: Kuester, Keith
Udgivet: (2012)

Portfolio Analytics
af: Marty
Udgivet: (2013)

Portfolio Diversification
af: Lhabitant, François-Serge
Udgivet: (2017)

Portfolio Theory
af: Szegö, Giorgio P.
Udgivet: (1980)

Winterthur Portfolio