Business cycle effects on portfolio credit risk: A simple FX Adjustment for a factor model
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- Sokolov, Yuri, 2009. "Interaction between market and credit risk: Focus on the endogeneity of aggregate risk," MPRA Paper 18245, University Library of Munich, Germany.
- Jose Giancarlo Gasha & Mr. Andre O Santos & Mr. Jorge A Chan-Lau & Mr. Carlos I. Medeiros & Mr. Marcos R Souto & Christian Capuano, 2009. "Recent Advances in Credit Risk Modeling," IMF Working Papers 2009/162, International Monetary Fund.
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Cited by:
- Sokolov, Yuri, 2012. "Modeling risk in a dynamically changing world: from association to causation," MPRA Paper 40096, University Library of Munich, Germany.
- Sokolov, Yuri I., 2024. "Bridging the Risk Management Gap: Adopting the Factor Endogenous Behaviour Aggregation (FEBA) Approach Beyond Banking," MPRA Paper 121188, University Library of Munich, Germany.
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More about this item
Keywords
exchange rate; factor modeling; competitiveness; credit risk; market risk;All these keywords.
JEL classification:
- E30 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - General (includes Measurement and Data)
- G32 - Financial Economics - - Corporate Finance and Governance - - - Financing Policy; Financial Risk and Risk Management; Capital and Ownership Structure; Value of Firms; Goodwill
- D01 - Microeconomics - - General - - - Microeconomic Behavior: Underlying Principles
- E37 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Forecasting and Simulation: Models and Applications
- A10 - General Economics and Teaching - - General Economics - - - General
- G01 - Financial Economics - - General - - - Financial Crises
NEP fields
This paper has been announced in the following NEP Reports:- NEP-BAN-2010-12-18 (Banking)
- NEP-MAC-2010-12-18 (Macroeconomics)
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