Hamerle, Alfred and Dartsch, Andreas and Jobst, Rainer and Plank, Kilian (2011) Integrating macroeconomic risk factors into credit portfolio models. JOURNAL OF RISK MODEL VALIDATION, 5 (2). pp. 3-24. ISSN 1753-9579,
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The recent financial crisis has shown the relevance of macroeconomic factors for forecasting and stress testing credit portfolio models. Despite this, most banks still work with a through-the-cycle approach. We show how to integrate macroeconomic variables into the risk management system of a bank using a multi-factor credit risk model with observable macroeconomic and latent variables. In an empirical study, we compare the point-in-time results of this model with those of a through-the-cycle model and explain the deficiencies of the latter. We also provide a solution for the important case in which the bank's credit risk model includes no macroeconomic information so that macro-level stress tests and scenario analyses may be executed in a straightforward and consistent way.
| Item Type: | Article |
|---|---|
| Uncontrolled Keywords: | DEFAULT; |
| Subjects: | 300 Social sciences > 330 Economics |
| Divisions: | Business, Economics and Information Systems > Institut für Betriebswirtschaftslehre > Entpflichtete oder im Ruhestand befindliche Professoren > Lehrstuhl für Statistik (Prof. Dr. Alfred Hamerle) |
| Depositing User: | Dr. Gernot Deinzer |
| Date Deposited: | 09 Jun 2020 09:26 |
| Last Modified: | 09 Jun 2020 09:26 |
| URI: | https://pred.uni-regensburg.de/id/eprint/20685 |
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