Differentiated determinants of risk in portfolio at risk of VJG … · 2019-09-30 · 6jku rcrgt ku...
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Differentiated determinants of risk in portfolio at risk of
Determinantes diferenciados de riesgo en la cartera en riesgo
*,
Abstract
Available online at www.sciencedirect.com
www.cya.unam.mx/index.php/cya
Accounting & Management
www.contaduriayadministracionunam.mx/
*
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Keywords Panel data Credit risk
Resumen
Palabras clave Datos en panel Ries
Introduction
that it
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oss and fss
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4
A panel data approach
ted as
glp
ife
, the change on
rc
wor
ygpn and ygpr
md
4
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of par
Descriptive analysis and unit roots panel data test
portfolio, ygpn and ygpr
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it
tion of the lagged changes on the variables,
The second set of panel errors,
variables
i, and, L=i. This
and the trend,
The standardized errors
and
as and
the errors it ,
i e
gonalization:
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, and the trend , are optional, that is:
H t
glp rc
Statistic
Prob
ife
H
panel
idea of a t
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the standardized lagged changes in panel errors
Statistic *
Prob
Statistic **
Prob
Statistic ***
Prob* ** *** intercept and trend
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the common intercept
and the slope vector
, and its vector of
, and
is important to remember that and are diagonal matrices of order and ,
and
is independent of and
is a
m
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correlated terms, and this means that
Pooled Prob FE Prob RE Prob
glp
ife
rc
md
Cons
that the md
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Test Statistic
Quantile regression in panel data
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ob Y and parameters
Prob Prob prob Pooled Prob
rc
cons
md
glp wor, are
glp, the change on risk covera
rc
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wor ygpn, and
ygpr
ygpn, is
ment in taking instead of
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Prob Prob Prob Pooled Prob
glp
2007
2008
2009
2010
2011
2012
Prob Prob Prob Pooled Prob
2007
2008
2009
2010
2011
2012
Prob Prob Prob Pooled Prob
2007
2008
2009
2010
2011
2012
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Conclusions
ygpn ygpr
ife
ife ygpr
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glp rc wor
Appendix
Appendix A
Variable Description
md
Appendix B
S x, y
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Appendix C
emiSol
4 COCDEP
Appendix D
References
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bargaining levels cointegrated? Applied Economics,
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