Title: Mod�lisation du stress testing du risque de cr�dit: Portefeuille de pr�ts aux particuliers (Omn.Univ.Europ.) (French Edition)
Publisher: Editions universitaires europeennes
Publication Date: 2010
Language: French
ISBN 10: 6131530130
ISBN 13: 9786131530135
Binding: Soft cover
Condition: New

About this title

Synopsis

L'objectif de cette �tude est de construire un mod�le de stress testing appliqu� au risque de cr�dit d'un portefeuille de pr�ts aux particuliers. La mod�lisation du risque de cr�dit des pr�ts aux particuliers n'est pas un cas particulier des mod�les du risque de cr�dit pour les entreprises. Le probl�me de ce genre de portefeuille est la pr�sence importante d'une composante du risque sp�cifique par rapport au risque syst�matique. Nous d�velopperons notre mod�le � la base de Wilson (1997a, b), de sorte � capter la composante sp�cifique par des variables idiosyncratiques des pr�ts et des individus eux-m�mes. D'autre part, la composante syst�matique est capt�e par des facteurs macro�conomiques pertinents. Pour ce faire, nous ferons appel aux fonctions de survie de Cox (1975) et Shumway (2001). Nous explorerons �galement l'initiative fondatrice de Gour�roux et al. (2006) pour mod�liser le taux de recouvrement. Des simulations Monte Carlo nous permettront d'�valuer les pr�dictions des pertes, aussi bien dans le cas de l'exploitation normale de notre institution financi�re qu'en cas de crises �conomiques hypoth�tiques. Notre �chantillon provient d'une banque canadienne de la place.

About the Author

Samir Saissi Hassani, M.Sc. en �conomie financi�re appliqu�e � HEC Montr�al, formation de base ing�nieur de l'�cole Centrale de Marseille, plus de quinze ann�es dans la gestion des entreprises industrielles multinationales, actuellement candidat au Ph.D en administration (finance) � HEC Montr�al.

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