Modelling the distribution of credit losses with observable and latent factors

Journal of Empirical Finance

Volumn 16, Issue 2, 2009, Pages 235-253

  Jiménez, Gabriel ^a   Mencía, Javier ^a  

^a Bank of Spain ^*  (Spain)

Author keywords

Contagion; Credit risk; Latent factors; Loss distribution; Probability of default; Stress test

Indexed keywords

EID: 59249097728     PISSN: 09275398     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.jempfin.2008.10.003     Document Type: Article

References (40)

1. Altman E., Resti A., and Sironi A. Default recovery rates in credit risk modelling: a review of the literature and empirical evidence. Economic Notes 33 (2004) 183-208
2. Ayuso J., Pérez D., and Saurina J. Are capital buffers procyclical? Evidence from Spanish panel data. Journal of Financial Intermediation 13 (2004) 249-264
3. Boss M. A macroeconomic credit risk model for stress testing the Austrian credit portfolio. Financial Stability Report of the Austrian National Bank 4 (2002) 64-82
4. Breitung, J., Pesaran, M.H., 2008. Unit roots and cointegration in panels. In: Matyas, L., Sevestre, P. (Eds.), The Econometrics of Panel Data, 3rd ed. Kluwer Academic Publishers, pp. 279-322 (Chapter 9).
5. Bruche M., and González-Aguado C. Recovery rates, default probabilities and the credit cycle. CEMFI Working Paper No. 0612 (2006)
6. Davidson R., and MacKinnon J.G. Testing linear and loglinear regressions against Box-Cox alternatives. Canadian Journal of Economics 18 (1985) 499-517
7. Delgado J., and Saurina J. Riesgo de crédito y dotaciones a insolvencias. Un análisis con variables macroeconómicas. Moneda y Crédito 219 (2004) 11-41 Also available in English by request to the authors
8. Demchuk A., and Gibson R. Stock market performance and the term structure of credit spreads. Journal of Financial and Quantitative Analysis 41 (2006) 863-887
9. Diebold F.X., Rudebusch D., and Boragan Aruoba S. The macroeconomy and the yield curve: a dynamic latent factor approach. Journal of Econometrics 131 (2006) 309-338
10. Drehmann M. A market based macro stress test for the corporate credit exposures of UK banks. Bank of England Working Paper (2005)
11. Drehmann M., Patton A.J., and Sorensen S. Corporate defaults and macroeconomic shocks: non-linearities and uncertainty. Bank of England Working Paper (2006)
12. Duffie D., Eckner A., Horel G., and Saita L. Frailty correlated default. Working paper (2006)
13. Dungey M., Martin V.L., and Pagan A.R. A multivariate latent factor decomposition of international bond yield spreads. Journal of Applied Econometrics 15 (2000) 697-715
14. Elsinger H., Lehar A., and Summer M. Risk assessment for banking systems. Management Science 52 (2006) 1301-1315
15. Fama E. Term premiums and default premiums in money markets. Journal of Financial Economics 17 (1986) 175-196
16. Fiori R., Foglia A., and Iannotti S. Estimating macroeconomic credit risk and sectoral default rate correlations for the Italian economy. Bank of Italy Working Paper (2007)
17. Giesecke K., and Weber S. Cyclical correlations, credit contagion and portfolio losses. Journal of Banking and Finance 28 (2004) 3009-3036
18. Goodhart C.A.E. Financial regulation, credit risk and financial stability. National Institute Economic Review 192 (2005) 118-127
19. Goodhart C.A.E., and Taylor A. Procyclicality and volatility in the financial system: The implementation of Basel II and IAS 39. In: Gerlach S., and Gruenwald P. (Eds). Procyclicality of Financial Systems in Asia (2005), Palgrave Macmillan
20. Gordy M. A comparative anatomy of credit risk models. Journal of Banking and Finance 24 (2000) 119-149
21. Gordy M.B., and Howels B. Procyclicality in Basel II: can we treat the disease without killing the patient?. Journal of Financial Intermediation 15 (2006) 395-417
22. Gupton G.M., and Stein R.M. Losscalc™: Model for predicting Loss Given Default (LGD) (2002), Moody's KMV, New York
23. Hamilton J.D. Time series analysis (1994), Princeton University Press, Princeton
24. Harvey A.C. Forecasting, structural time series and the Kalman filter (1990), Cambridge University Press, Cambridge
25. Jiménez G., and Saurina J. Collateral, type of lender and relationship banking as determinants of credit risk. Journal of Banking and Finance 28 (2004) 2191-2212
26. Jiménez G., Salas V., and Saurina J. Determinants of collateral. Journal of Financial Economics 81 (2006) 255-281
27. Jiménez, G., López, J.A., Saurina, J. 2008. Empirical analysis of corporate credit lines. Forthcoming Review of Financial Studies.
28. Johnson N.L., Kotz S., and Balakrishnan N. Continuous univariate distributions (1994), John Wiley and Sons, New York
29. Kashyap A.K., and Stein J.C. Cyclical implications of the Basel II capital standards. Economic Perspectives Q/2004 (2004) 18-31
30. Kiyotaki N., and Moore J. Credit cycles. Journal of Political Economy 105 (1997) 211-248
31. López J.A. Modelling credit risk for commercial loans. Federal Reserve Bank of San Francisco Economic Letter 2001-12 (2001)
32. Madan D.B., and Unal H. Designing countercyclical and risk based aggregate deposit insurance premia. CFR Seminar Series Library (2006), FDIC
33. Martín, Salas V., and Saurina J. A test of the law of one price in retail banking. Journal of Money, Credit and Banking 39 (2007) 2021-2040
34. Misina M., Tessier D., and Dey S. Stress testing the corporate loans portfolio of the Canadian banking sector. Bank of Canada Working Paper No. 2006-47 (2006)
35. Pesaran M.H., Schuermann T., Treutler B.J., and Weiner S.M. Macroeconomic dynamics and credit risk: a global perspective. Journal of Money, Credit and Banking 38 (2006) 1211-1261
36. Rosenberg J.V., and Schuermann T. A general approach to integrated risk management with, skewed, fat-tailed risks. Journal of Financial Economics 79 (2006) 569-614
37. Schuermann T., and Stiroh K.J. Visible and hidden risk factors for banks. Working paper No. 06-10 (2006), Financial Institutions Center, Wharton School of Business
38. Virolainen K. Macro stress testing with a macroeconomic credit risk model for Finland. Bank of Finland discussion paper No. 18 (2004)
39. Wilson T.C. Portfolio credit risk (I). Risk 10 (1997) 56-61
40. Wilson T.C. Portfolio credit risk (II). Risk 10 (1997) 111-117