أعرض تسجيلة المادة بشكل مبسط

dc.creator Pesaran, Mohammad Hashem
dc.creator Schuermann, Til
dc.creator Treutler, Björn-Jakob
dc.date 2005
dc.date.accessioned 2013-10-16T07:02:24Z
dc.date.available 2013-10-16T07:02:24Z
dc.date.issued 2013-10-16
dc.identifier http://hdl.handle.net/10419/19012
dc.identifier ppn:503666874
dc.identifier.uri http://koha.mediu.edu.my:8181/xmlui/handle/10419/19012
dc.description The potential for portfolio diversification is driven broadly by two characteristics: the degree to which systematic risk factors are correlated with each other and the degree of dependence individual firms have to the different types of risk factors. Using a global vector autoregressive macroeconometric model accounting for about 80% of world output, we propose a model for exploring credit risk diversification across industry sectors and across different countries or regions. We find that full firm-level parameter heterogeneity along with credit rating information matters a great deal for capturing differences in simulated credit loss distributions. Imposing homogeneity results in overly skewed and fat-tailed loss distributions. These differences become more pronounced in the presence of systematic risk factor shocks: increased parameter heterogeneity reduces shock sensitivity. Allowing for regional parameter heterogeneity seems to better approximate the loss distributions generated by the fully heterogeneous model than allowing just for industry heterogeneity. The regional model also exhibits less shock sensitivity.
dc.language eng
dc.relation CESifo working papers 1548
dc.rights http://www.econstor.eu/dspace/Nutzungsbedingungen
dc.subject C32
dc.subject G20
dc.subject E17
dc.subject ddc:330
dc.subject risk management
dc.subject default dependence
dc.subject economic interlinkages
dc.subject portfolio choice
dc.subject Kreditrisiko
dc.subject Portfolio-Management
dc.subject Zahlungsunfähigkeit
dc.subject Unternehmenswert
dc.subject Konjunkturzusammenhang
dc.subject Welt
dc.title Global business cycles and credit risk
dc.type doc-type:workingPaper


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أعرض تسجيلة المادة بشكل مبسط