Credit Risk: Quantitative Study of Default Rates for Sweden - Ruslan Huseynov - Books - LAP LAMBERT Academic Publishing - 9783659169939 - July 26, 2012
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Credit Risk: Quantitative Study of Default Rates for Sweden

Ruslan Huseynov

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Credit Risk: Quantitative Study of Default Rates for Sweden

The book presents estimations of the credit risks in the aggregate and the sectors levels of the Swedish economy in response to the evaluation of key macroeconomic variables. One-factor models were used and the employed data were covering the period from 2003 to 2011. One factor models? estimations for the sectors facilitate a comparison of default rates? determiners between different sectors. Ten different sectors were analyzed and for all sectors, the default rate models were produced. Estimated models were used for the sensitive analyze of default rates by creating shocks over the independent variables. This research provided important findings on how the macroeconomic indicators influenced the default rates of Swedish economy either at the aggregate or at the sectors level. The calculated models can be used for the default rates? prediction or stress testing as well.

Media Books     Paperback Book   (Book with soft cover and glued back)
Released July 26, 2012
ISBN13 9783659169939
Publishers LAP LAMBERT Academic Publishing
Pages 80
Dimensions 150 × 5 × 226 mm   ·   137 g
Language German