Macroeconomic default modelling and stress testing
نویسنده
چکیده
This paper applies a macroeconomic-based model for estimating default probabilities on Dutch data. The rst part of the paper focuses on the relation between macroeconomic variables and the default behaviour of Dutch rms. A convincing relationship with GDP growth and oil price, and to a lesser extent, the interest and exchange rate exists. The second part assesses the default behaviour based on a stress scenario of two consecutive quarters of zero GDP growth. It can be concluded that a short recession of two quarters zero GDP growth does not inuence the default rate signi cantly. A stress test scenario of two quarters zero GDP growth therefore underestimates the true credit risk.
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