Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/200811 
Year of Publication: 
2017
Citation: 
[Journal:] KDI Journal of Economic Policy [ISSN:] 2586-4130 [Volume:] 39 [Issue:] 3 [Publisher:] Korea Development Institute (KDI) [Place:] Sejong [Year:] 2017 [Pages:] 43-62
Publisher: 
Korea Development Institute (KDI), Sejong
Abstract: 
This paper proposes an integrated risk-management framework that includes 1) measuring the risk of credit portfolios, 2) implementing a (macro) stress test, and 3) setting risk limits using the estimated systematic latent factor specific to capture the housing market cycle. To this end, we extract information from a set of real-estate market variables based on the FAVAR methodology proposed by Bernanke, Boivin and Eliasz (2005). Then, we show the method by which the estimated systematic factor is applied to risk management in the housing market in an integrated manner within the Vasicek one-factor credit model. The proposed methodology is well fitted to analyze the risk of slow-moving and low-defaultable forms of capital, such as alternative investments.
Subjects: 
Housing Cycle
FAVAR
Risk Management
JEL: 
R3
E17
G32
Persistent Identifier of the first edition: 
Creative Commons License: 
cc-by-sa Logo
Document Type: 
Article

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