Transmission Channels of Credit Risk
{"Image DocumentName": "Transmission Channels of Credit Risk", "Image ImageDescription": "dependent variable of credit risk models: 12M default rate (i.e. new bad loans over initial portfolio) 12M default rate is also used by commercial banks; the Basel II \u201ePD used for IRB approach in credit risk should be \u201ea long-run average of default rates model and explanatory variables. Corporate Sector. Merton model. Macroeconomic shocks (explanatory variables); GDP growth, exchange rate, inflation, debt. Households. Merton model + naive econometric models. Unemployment rate, real interest rates, GDP.", "Image XResolution": "37", "Image YResolution": "37", "Image ResolutionUnit": "Pixels/Centimeter", "Image Software": "SlidePlayer", "Image YCbCrPositioning": "Centered"}