Credit risk stress testing: the Portuguese environment, macroeconomic scenarios and the estimation of losses for corporate sectors
Autor(a) principal: | |
---|---|
Data de Publicação: | 2013 |
Tipo de documento: | Dissertação |
Idioma: | eng |
Título da fonte: | Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) |
Texto Completo: | http://hdl.handle.net/10362/9836 |
Resumo: | A Work Project, presented as part of the requirements for the Award of a Masters Degree in Finance from the NOVA – School of Business and Economics |
id |
RCAP_92fe5494a14a320f97d50ab2ddd6d2c5 |
---|---|
oai_identifier_str |
oai:run.unl.pt:10362/9836 |
network_acronym_str |
RCAP |
network_name_str |
Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) |
repository_id_str |
7160 |
spelling |
Credit risk stress testing: the Portuguese environment, macroeconomic scenarios and the estimation of losses for corporate sectorsCredit riskStress testingMacroeconomic indicatorsCorporate portfolioA Work Project, presented as part of the requirements for the Award of a Masters Degree in Finance from the NOVA – School of Business and EconomicsThis study focuses on the development of a macroeconomic credit risk model for the prediction of corporate default rates, conditional on the observed economic environment. Data relative to the Portuguese economy was utilized for the development of the model, regarding the period from 2002 to 2012. The results suggest a clear link between macroeconomic factors, such as GDP, interest rates, unemployment and corporate indebtness, to the default rates observed. Furthermore, the introduction of a Merton-based analysis of the loss distributions permitted the analysis of expected and unexpected losses, alongside Basel II capital requirement evolutions.NSBE - UNLLopes, Samuel da RochaRUNBatalim, Maria Inês Cunha Martins2013-06-07T10:34:36Z2013-012013-01-01T00:00:00Zinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/masterThesisapplication/pdfhttp://hdl.handle.net/10362/9836enginfo:eu-repo/semantics/openAccessreponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãoinstacron:RCAAP2024-03-11T03:43:10Zoai:run.unl.pt:10362/9836Portal AgregadorONGhttps://www.rcaap.pt/oai/openaireopendoar:71602024-03-20T03:19:04.126391Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãofalse |
dc.title.none.fl_str_mv |
Credit risk stress testing: the Portuguese environment, macroeconomic scenarios and the estimation of losses for corporate sectors |
title |
Credit risk stress testing: the Portuguese environment, macroeconomic scenarios and the estimation of losses for corporate sectors |
spellingShingle |
Credit risk stress testing: the Portuguese environment, macroeconomic scenarios and the estimation of losses for corporate sectors Batalim, Maria Inês Cunha Martins Credit risk Stress testing Macroeconomic indicators Corporate portfolio |
title_short |
Credit risk stress testing: the Portuguese environment, macroeconomic scenarios and the estimation of losses for corporate sectors |
title_full |
Credit risk stress testing: the Portuguese environment, macroeconomic scenarios and the estimation of losses for corporate sectors |
title_fullStr |
Credit risk stress testing: the Portuguese environment, macroeconomic scenarios and the estimation of losses for corporate sectors |
title_full_unstemmed |
Credit risk stress testing: the Portuguese environment, macroeconomic scenarios and the estimation of losses for corporate sectors |
title_sort |
Credit risk stress testing: the Portuguese environment, macroeconomic scenarios and the estimation of losses for corporate sectors |
author |
Batalim, Maria Inês Cunha Martins |
author_facet |
Batalim, Maria Inês Cunha Martins |
author_role |
author |
dc.contributor.none.fl_str_mv |
Lopes, Samuel da Rocha RUN |
dc.contributor.author.fl_str_mv |
Batalim, Maria Inês Cunha Martins |
dc.subject.por.fl_str_mv |
Credit risk Stress testing Macroeconomic indicators Corporate portfolio |
topic |
Credit risk Stress testing Macroeconomic indicators Corporate portfolio |
description |
A Work Project, presented as part of the requirements for the Award of a Masters Degree in Finance from the NOVA – School of Business and Economics |
publishDate |
2013 |
dc.date.none.fl_str_mv |
2013-06-07T10:34:36Z 2013-01 2013-01-01T00:00:00Z |
dc.type.status.fl_str_mv |
info:eu-repo/semantics/publishedVersion |
dc.type.driver.fl_str_mv |
info:eu-repo/semantics/masterThesis |
format |
masterThesis |
status_str |
publishedVersion |
dc.identifier.uri.fl_str_mv |
http://hdl.handle.net/10362/9836 |
url |
http://hdl.handle.net/10362/9836 |
dc.language.iso.fl_str_mv |
eng |
language |
eng |
dc.rights.driver.fl_str_mv |
info:eu-repo/semantics/openAccess |
eu_rights_str_mv |
openAccess |
dc.format.none.fl_str_mv |
application/pdf |
dc.publisher.none.fl_str_mv |
NSBE - UNL |
publisher.none.fl_str_mv |
NSBE - UNL |
dc.source.none.fl_str_mv |
reponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação instacron:RCAAP |
instname_str |
Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação |
instacron_str |
RCAAP |
institution |
RCAAP |
reponame_str |
Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) |
collection |
Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) |
repository.name.fl_str_mv |
Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação |
repository.mail.fl_str_mv |
|
_version_ |
1799137835079434240 |