Now showing items 2-5 of 5

    • Macroeconomic Dynamics and Credit Risk: A Global Perspective 

      Pesaran, M. Hashem; Schuermann, Til; Treutler, Bjorn-Jakob; Weiner, Scott M. (2004-06-16)
      We develop a framework for modelling conditional loss distributions through the introduction of risk factor dynamics. Asset value changes of a credit portfolio are linked to a dynamic global macroeconometric model, ...
    • Modelling Regional Interdependencies Using a Global Error-Correcting Macroeconometric Model 

      Pesaran, M. Hashem; Schuermann, Til; Weiner, Scott M.; Weiner, Scott M.; Pesaran, M. Hashem (2004-06-16)
      We build a compact global macroeconometric model capable of generating point and density forecasts for a core set of macroeconomic factors using recent advances in the analysis of cointegrating systems. We do so for a ...
    • The Role of Industry, Geography and Firm Heterogeneity in Credit Risk Diversification 

      Pesaran, M. Hashem; Schuermann, Til; Treutler, Bjorn-Jakob (2006-03-14)
      In theory the potential for credit risk diversification for banks could be substantial. Portfolio diversification is driven broadly by two characteristics: the degree to which systematic risk factors are correlated with ...
    • Scope for Credit Risk Diversification 

      Hanson, Samuel; Pesaran, M. Hashem; Schuermann, Til (2006-03-14)
      This paper considers a simple model of credit risk and derives the limit distribution of losses under different assumptions regarding the structure of systematic risk and the nature of exposure or firm heterogeneity. We ...