Modeling of Corporate Default Risk with Considering Latent Factors

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Kheiri, Alireza | 2012

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Type of Document: M.Sc. Thesis
Language: Farsi
Document No: 44112 (44)
University: Sharif University of Technology
Department: Management and Economics
Advisor(s): Zamani, Shiva
Abstract:
Credit risk is one important type of various types of financial risks that banks and financial institutions are exposed to it. Therefore credit risk management for banks and other financial institutions that finance corporations and individuals, has special importance. To make decision about financing clients of the bank and managing credit risk, it is essential to measure credit risk of these clients. In recent decades there are many efforts to measure credit risk and therefore various models have been created for assessing it. In this research, we study the effects of Macroeconomic, firm specific and latent variables on clients default risk, in the context of reduced-form models. The results of this research show that adding latent variable in macroeconomic level, has improved the accuracy and performance of the model
Keywords:
Credit Risk ; Reduced Form Model ; Default Intensity ; Frailty Model ; Default Risk

No TOC