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Un modèle multifactoriel des spreads de crédit : estimation sur panels complets et incomplets

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  • Sandrine Lardic
  • Claire Gauthier

Abstract

[eng] Amulti-factorial model of credit spreads : estimation using complete and incomplete panels.. Credit risk is an important source of risk for most banks. While it has been inherent in their financial intermediation activity and identified for a long time, scientific methods for analysing and quantifying this type of risk have emerged only recently. This may be due to the complexity and unpredictability of the default event. The model proposes a tool for analysing and forecasting credit spreads that can help managers in their portfolio choices. Our approach is multi-factorial, attempting to explain changes in credit spreads. The study has been made using a panel of corporate bonds issued on the French market. [fre] Le risque de crédit est une source de risque importante pour la plupart des banques. Bien qu’il soit inhérent à leur activité d’intermédiation financière et identifié depuis longtemps, les méthodes d’analyse et d’évaluation du risque de crédit ne se sont développées que récemment. Cela est probablement dû à la complexité et au caractère imprévisible du défaut. Le modèle que nous présentons dans cette étude a pour objectif d’aider les gérants à prendre leurs décisions de portefeuille en leur fournissant un outil d’analyse et de prévision des spreads de crédit.

Suggested Citation

  • Sandrine Lardic & Claire Gauthier, 2003. "Un modèle multifactoriel des spreads de crédit : estimation sur panels complets et incomplets," Économie et Prévision, Programme National Persée, vol. 159(3), pages 53-69.
    • Handle: RePEc:prs:ecoprv:ecop_0249-4744_2003_num_159_3_6912
    DOI: 10.3406/ecop.2003.6912
    Note: DOI:10.3406/ecop.2003.6912
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