uu.seUppsala University Publications
Change search
ReferencesLink to record
Permanent link

Direct link
Macroeconomic factors in credit-risk modelling
Uppsala University, Disciplinary Domain of Humanities and Social Sciences, Faculty of Social Sciences, Department of Economics.
2016 (English)Independent thesis Advanced level (degree of Master (Two Years)), 20 credits / 30 HE creditsStudent thesis
Abstract [en]

With the implementation of IFRS 9 Financial instruments in mind, this thesis examines the ability of macroeconomic factors to improve credit risk estimations of mortgage-loans using a survival approach and a portfolio consisting of Swedish mortgage loans. The results indicate that especially the house-price index and the real-repo rate are found to be important macroeconomic factors to include, but also the GDP and the unemployment rate are found to improve the model despite the fact that the estimates of the GDP are reversed to what is expected. It is also found that the macroeconomic factors add most information when included in models estimating credit risk of portfolios characterized by moderately low to moderately high credit risk. The models incorporating macroeconomic factors also seem relatively stable over time.

Place, publisher, year, edition, pages
Keyword [en]
macroeconomic factors, mortgage-loan, credit-risk modelling, cox-proportional hazard model, IFRS 9, semi-parametric model
National Category
URN: urn:nbn:se:uu:diva-297489OAI: oai:DiVA.org:uu-297489DiVA: diva2:942022
Available from: 2016-06-23 Created: 2016-06-23 Last updated: 2016-06-23Bibliographically approved

Open Access in DiVA

No full text

By organisation
Department of Economics

Search outside of DiVA

GoogleGoogle Scholar
The number of downloads is the sum of all downloads of full texts. It may include eg previous versions that are now no longer available

Total: 19 hits
ReferencesLink to record
Permanent link

Direct link