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The Influence of Macroeconomic Factors on a Credit Portfolio Modeling
The paper studies the influence of macroeconomic factors on credit risk. First payment default ratio characterizes the level of credit risk, which equals to the share of loans for which the debt was formed for more than 30 days. Moreover, two hypotheses will be checked: the influence of macroeconomic factors on the credit risk in general, and the influence in a certain period of time.