Portfolio Credit Risk and Macroeconomic Shocks : Applications to Stress Testing Under Data-Restricted Environments »
Journal Issue
Volume/Issue: 2006/283
Series: IMF Working Papers
Author(s): Miguel Segoviano Basurto
Publisher: INTERNATIONAL MONETARY FUND
Publication Date: 01 December 2006
DOI: http://dx.doi.org/10.5089/9781451865431.001
ISBN: 9781451865431
Keywords: Portfolio credit risk measurement, macroeconomic shock measurement, multivariate density estimation, entropy distribution, credit risk, probability, equation, probabilities, Econometric and Statistical Methods: Other, Model Evaluation and Selection
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...