Credit risk stress testing: the Portuguese environment, macroeconomic scenarios and the estimation of losses for corporate sectors

Detalhes bibliográficos
Autor(a) principal: Batalim, Maria Inês Cunha Martins
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
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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
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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
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