English, Article, Journal or magazine article edition: Macro stress testing with a macroeconomic credit risk model: Application to the French manufacturing sector. Avouyi-Dovi, S.; Bardos, M.; Jardet, C.; ...

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Bookmark: http://trove.nla.gov.au/version/66398
Physical Description
  • preprint
Language
  • English

Edition details

Title
  • Macro stress testing with a macroeconomic credit risk model: Application to the French manufacturing sector.
Author
  • Avouyi-Dovi, S.
  • Bardos, M.
  • Jardet, C.
  • Kendaoui, L.
  • Moquet , J.
Physical Description
  • preprint
Notes
  • The aim of this paper is to build and estimate a macroeconomic model of credit risk for the French manufacturing sector. This model is based on Wilson's CreditPortfolioView model (1997a, 1997b); it enables us to simulate loss distributions for a credit portfolio for several macroeconomic scenarios. We implement two simulation procedures based on two assumptions relative to probabilities of default (PDs): in the first procedure, firms are assumed to have identical default probabilities; in the second, individual risk is taken into account. The empirical results indicate that these simulation procedures lead to quite different loss distributions. For instance, a negative one standard deviation shock on output leads to a maximum loss of 3.07% of the financial debt of the French manufacturing sector, with a probability of 99%, under the identical default probability hypothesis versus 2.61% with individual default probabilities.
  • macro stress test ; credit risk model ; loss distribution.
  • RePEc:bfr:banfra:238
Language
  • English
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