IDEAS home Printed from https://ideas.repec.org/a/aio/fpvfcf/v1y2008i7p118-126.html
   My bibliography  Save this article

Credit risk, a macroeconomic model application for Romania

Author

Listed:
  • Ioan TRENCA
  • Annamaria BENYOVSZKI

    (Babes-Bolyai University Cluj-Napoca)

Abstract

In this study we apply a macroeconomic credit risk model which links a set of macroeconomic factors and industry-specific corporate sector default rates using Romanian data over the time period from 2002:2 to 2007:2. We will model and estimate industry-specific default rates, simulate with Monte Carlo method a loss distribution of a hypothetical corporate credit portfolio and analyze the impact of interest rate developments on the portfolio loss distribution.

Suggested Citation

  • Ioan TRENCA & Annamaria BENYOVSZKI, 2008. "Credit risk, a macroeconomic model application for Romania," Finante - provocarile viitorului (Finance - Challenges of the Future), University of Craiova, Faculty of Economics and Business Administration, vol. 1(7), pages 118-126, May.
    • Handle: RePEc:aio:fpvfcf:v:1:y:2008:i:7:p:118-126
    as

    Download full text from publisher

    File URL: http://feaa.ucv.ro/FPV/007-17.pdf
    Download Restriction: no
    ---><---

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Segun Thompson Bolarinwa & Olawale Akinyele & Xuan Vinh Vo, 2021. "Determinants of nonperforming loans after recapitalization in the Nigerian banking industry: Does efficiency matter?," Managerial and Decision Economics, John Wiley & Sons, Ltd., vol. 42(6), pages 1509-1524, September.
    2. Ruja, Catalin, 2014. "Macro Stress-Testing Credit Risk in Romanian Banking System," MPRA Paper 58244, University Library of Munich, Germany.
    3. Segun Thompson Bolarinwa & Richard Olaolu Olayeni & Xuan Vinh Vo, 2021. "Is there a nonlinear relationship between nonperforming loans and bank profitability? Evidence from dynamic panel threshold," Managerial and Decision Economics, John Wiley & Sons, Ltd., vol. 42(3), pages 649-661, April.
    4. Peter Grundke & Kamil Pliszka & Michael Tuchscherer, 2020. "Model and estimation risk in credit risk stress tests," Review of Quantitative Finance and Accounting, Springer, vol. 55(1), pages 163-199, July.

    More about this item

    Keywords

    macroeconomic credit risk; credit risk model; Monte Carlo method; credit loss distribution; portfolio stress testing;
    All these keywords.

    JEL classification:

    • E00 - Macroeconomics and Monetary Economics - - General - - - General
    • E17 - Macroeconomics and Monetary Economics - - General Aggregative Models - - - Forecasting and Simulation: Models and Applications
    • C82 - Mathematical and Quantitative Methods - - Data Collection and Data Estimation Methodology; Computer Programs - - - Methodology for Collecting, Estimating, and Organizing Macroeconomic Data; Data Access

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:aio:fpvfcf:v:1:y:2008:i:7:p:118-126. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Alina Manta (email available below). General contact details of provider: https://edirc.repec.org/data/fecraro.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.