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

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