Credit Risk - Huseynov, Ruslan
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The book presents estimations of the credit risks in the aggregate and the sectors levels of the Swedish economy in response to the evaluation of key macroeconomic variables. One-factor models were used and the employed data were covering the period from 2003 to 2011. One factor models estimations for the sectors facilitate a comparison of default rates determiners between different sectors. Ten different sectors were analyzed and for all sectors, the default rate models were produced. Estimated models were used for the sensitive analyze of default rates by creating shocks over the independent…mehr

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Produktbeschreibung
The book presents estimations of the credit risks in the aggregate and the sectors levels of the Swedish economy in response to the evaluation of key macroeconomic variables. One-factor models were used and the employed data were covering the period from 2003 to 2011. One factor models estimations for the sectors facilitate a comparison of default rates determiners between different sectors. Ten different sectors were analyzed and for all sectors, the default rate models were produced. Estimated models were used for the sensitive analyze of default rates by creating shocks over the independent variables. This research provided important findings on how the macroeconomic indicators influenced the default rates of Swedish economy either at the aggregate or at the sectors level. The calculated models can be used for the default rates prediction or stress testing as well.
Autorenporträt
Ruslan Huseynov was born in 1986, Azerbaijan. He had bachelor with honour from Qafqaz University. His master degree was in Finance from the Umea University, Sweden. He was granted full time scholarship within the framework of the ¿State Scholarship Program for Education of Azerbaijani Youth abroad. Now he is doing his PhD at Luxembourg University.