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- Carling, Kenneth, et al.
(författare)
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Is Firm Interdependence within Industries Important for Portfolio Credit Risk?
- 2004
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Rapport (övrigt vetenskapligt/konstnärligt)abstract
- A drawback of available portfolio credit risk models is that they fail to allow for default risk dependency across loans other than through common risk factors. Thereby, thesemodels ignore that close ties can exist between companies due to legal, financial and business relations. In this paper, we integrate the insights from theoretical models of default correlation into a commonly used model of default and portfolio credit risk by allowing for dependency between firm default risk through both common factors and industry specific errors in a duration model. An application using pooled data from two Swedish banks’ business loan portfolios over the period 1996-2000 shows that estimates of individual default risk are little affected by including industry specific errors. However, accounting for these industry effects increases VaR estimates by 50-200 percent. A traditional model with only systematic factors, although able to fit the broad trends in credit losses, cannot match these fluctuations because it fails to capture credit losses in bad times, when banks are typically hit by large unexpected credit losses. The model we propose manages to follow both the trend in credit losses and produce industry driven, time-varying, fluctuations in losses around that trend. Consequently, this model will better aid banks and regulators in determining the appropriate size of economic capital requirements. Capital buffers derived from our model will be larger for periods with large ”aggregate” disturbances and smaller in better times, and avoid both overcapitalization in good times and undercapitalization in bad times.
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| 5. |
- Rönnegård, Lars, et al.
(författare)
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Hjordstrukturering och urval vid slakt
- 2002
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Ingår i: Boazudiehtu - Nyhetsblad om forskning och utveckling i renskötseln. ; :3
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Tidskriftsartikel (övrigt vetenskapligt/konstnärligt)
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| 8. |
- Rönnegård, Lars
(författare)
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Selection, Maternal Effects and Inbreeding in Reindeer Husbandry
- 2003
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Doktorsavhandling (övrigt vetenskapligt/konstnärligt)abstract
- In extensive grazing systems where several owners’ flocks are allowed to mix, selection strategies will also interact, due to gene flow between flocks. The aim of the thesis was to analyse breeding schemes in terms of genetic gain and rate of inbreeding (?F), given the complexity of ownership and interaction of selection strategies within a mixing reindeer population. The data, collected between 1986 and 1997 in the reindeer herding district of Ruvhten Sijte, Sweden, comprised 12,500 records of autumn calf weights. The mean phenotypic difference in calf weights between selected and non-selected flocks was 0.67 kg after 11 years of selection in Ruvhten Sijte. The genetic difference was 0.35 kg and the realized heritability was 0.2. Based on the realized heritablility, it was shown that if all owners had applied selection, the genetic response would have been 2 kg (corresponding to an annual genetic gain of 0.4% of the phenotypic mean, including the initial lag due to age structure). The relationships between life-time patterns of female weight, calving incidence and offspring weight were examined. A female rearing a calf was shown to weigh 3.1 kg less in winter than one not rearing a calf. The regression coefficient of calf autumn weight on female weight the previous winter was 0.26. Detailed life-history patterns were obtained for females aged 1 – 15 years. The expected long-term genetic contribution method to predict genetic gain and ?F in selected populations was developed to include maternal effects. It was shown that variation in inherited maternal effects influences ?F more than does variation in non-inherited maternal effects. Furthermore, population structures affect ?F much more when there are maternal effects, than direct genetic effects alone, especially in populations with large family size. This method was used to evaluate different selection schemes in reindeer husbandry, with different proportions of a population included in each scheme. It was shown that for reindeer population sizes greater than 2,000 there is no risk of inbreeding effects.
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| 9. |
- Rönnegård, Lars, et al.
(författare)
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Urval ökar renhjordens produktivitet.
- 2003
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Ingår i: Boazudiehtu - Nyhetsblad om forskning och utveckling i renskötseln. ; :1
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Tidskriftsartikel (övrigt vetenskapligt/konstnärligt)
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