Modeling Frailty Correlated Defaults with Multivariate Latent Factors

Publikation: Working paperForskning

Resumé

Konkursmodeller på virksomhedsniveau er vigtige for bottom-up-modellering af en virksomhedsporteføljes konkursrisiko. Modeller i litteraturen har dog typisk flere strenge antagelser, der kan resultere i bias, særligt en antagelse om en lineær effekt af kovariaterne på log-hazard-skalaen, ingen vekselvirkninger, og en antagelse om en enkel additiv latent faktor på log-hazard-skalaen. Med udgangspunkt i et datasæt bestående af amerikanske virksomheder finder vi evidens for, at disse antagelser er for strenge, at de har en betydning i praksis og, endnu vigtigere, at der er evidens for en tidsvarierende effekt af den relative virksomhedsstørrelse. Vi foreslår en frailty-model til at tage højde for disse effekter, der også kan anvendes til at forecaste for
arbitrære porteføljer. Blandt de undersøgte modeller udviser vores foreslåede frailty-model den bedste out-of-sample-rangering af virksomheder efter deres kreditrisiko og de bedste forecasts af konkursraten for hele økonomien under den seneste globale finansielle krise.
OriginalsprogEngelsk
Udgivelses stedKøbenhavn
UdgiverDanmarks Nationalbank
Antal sider24
StatusUdgivet - 22 jan. 2020
NavnDanmarks Nationalbank. Working Papers
Nummer151
ISSN1602-1193

Emneord

  • Credit risk
  • Risk management

Citer dette

Christoffersen, B., & Matin, R. (2020). Modeling Frailty Correlated Defaults with Multivariate Latent Factors. København: Danmarks Nationalbank. Danmarks Nationalbank. Working Papers, Nr. 151
Christoffersen, Benjamin ; Matin, Rastin. / Modeling Frailty Correlated Defaults with Multivariate Latent Factors. København : Danmarks Nationalbank, 2020. (Danmarks Nationalbank. Working Papers; Nr. 151).
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Modeling Frailty Correlated Defaults with Multivariate Latent Factors. / Christoffersen, Benjamin; Matin, Rastin.

København : Danmarks Nationalbank, 2020.

Publikation: Working paperForskning

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Christoffersen B, Matin R. Modeling Frailty Correlated Defaults with Multivariate Latent Factors. København: Danmarks Nationalbank. 2020 jan 22.