Forecasting and decomposition of portfolio credit risk using macroeconomic and frailty factors

DOI10.1016/J.JEDC.2014.02.008zbMath1402.91851OpenAlexW2056803159MaRDI QIDQ1994418

Yongwoong Lee, Ser-Huang Poon

Publication date: 1 November 2018

Published in: Journal of Economic Dynamics \& Control (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jedc.2014.02.008

zbMATH Keywords

conditional value-at-riskdefault probabilityrisk contributionHoeffding decompositionEuler capital allocation

Mathematics Subject Classification ID

Portfolio theory (91G10) Credit risk (91G40)

Related Items (1)

Accuracy of mortgage portfolio risk forecasts during financial crises

Cites Work

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• Do credit market shocks drive output fluctuations? Evidence from corporate spreads and defaults
• Modeling frailty-correlated defaults using many macroeconomic covariates
• Analytical methods for hedging systematic credit risk with linear factor portfolios
• A note on the large homogeneous portfolio approximation with the Student-\(t\) copula
• Recent developments in consumer credit risk assessment
• A new distribution-free quantile estimator
• Default risks, interest rate spreads, and business cycles: Explaining the interest rate spread as a leading indicator

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