| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP9205 |
| DP9205 Modeling default correlation in a US retail loan portfolio | |
| Christian Wolff; Dennis Bams; Magdalena Pisa | |
| 发表日期 | 2012-11-04 |
| 出版年 | 2012 |
| 语种 | 英语 |
| 摘要 | This paper generalizes the existing asymptotic single-factor model to address issues related to industry heterogeneity, default clustering and parameter uncertainty of capital requirement in US retail loan portfolios. We argue that the Basel II capital requirement overstates the riskiness of small businesses even with prudential adjustments. Moreover, our estimates show that both location and spread of loss distribution bare uncertainty. Their shifts over the course of the recent crisis have important risk management implications. The results are based on a unique representative dataset of US small businesses from 2005 to 2011 and give fundamental insights into the US economy. |
| 主题 | Financial Economics |
| 关键词 | Credit risk |
| URL | https://cepr.org/publications/dp9205 |
| 来源智库 | Centre for Economic Policy Research (United Kingdom) |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/538039 |
| 推荐引用方式 GB/T 7714 | Christian Wolff,Dennis Bams,Magdalena Pisa. DP9205 Modeling default correlation in a US retail loan portfolio. 2012. |
| 条目包含的文件 | 条目无相关文件。 | |||||
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