Bookcover of What Drives the Aggregate Credit Risk
Booktitle:

What Drives the Aggregate Credit Risk

The Case of the Czech Republic

LAP LAMBERT Academic Publishing (2015-07-07 )

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ISBN-13:

978-3-659-74765-6

ISBN-10:
3659747653
EAN:
9783659747656
Book language:
English
Blurb/Shorttext:
There has been a long discussion about macroeconomic variables influencing the level of aggregate credit risk in the economy. While literature provides both evidence and theoretical explanation of the influence of the business cycle on credit risk, the effect of other variables has not been explored sufficiently. In addition, recent literature suggests the existence of a latent factor behind aggregate credit risk. This work provides in its first part a discussion of potential aggregate credit risk drivers, which have been previously suggested in literature. We verify using a regression model whether the effect of these variables is also apparent in the Czech Republic. The second part of this work explicitly models the latent factor by adding an unobserved component to the model constructed earlier in this thesis. The contribution of this work is due to our belief twofold. First, we add a latent component to the linear regression model. Secondly, we analyze if and under which circumstances the latent component extension improves the fit of the regression model and discuss whether the explicit estimate of the unobserved component has a feasible interpretation as the default cycle.
Publishing house:
LAP LAMBERT Academic Publishing
Website:
https://www.lap-publishing.com/
By (author) :
Jan Málek
Number of pages:
76
Published on:
2015-07-07
Stock:
Available
Category:
Economics
Price:
39.90 €
Keywords:
GLS, Kalman Filter, credit cycle, segmented regression, Business Cycle, Credit risk

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