Korean Housing Cycle: Implications for Risk Management (Factor-augmented VAR Approach)

Korean Housing Cycle: Implications for Risk Management (Factor-augmented VAR Approach)

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 i...

Full description

Bibliographic Details
Main Authors: KWON, HYUCK-SHIN, BANG, DOO WON, KIM, MYEONG HYEON
Format: Article
Language:English
Published: Korea Development Institute 2017-08-01
Series:KDI Journal of Economic Policy
Subjects:
Housing Cycle
FAVAR
Risk Management
Online Access:https://doi.org/10.23895/kdijep.2017.39.3.43

Internet

https://doi.org/10.23895/kdijep.2017.39.3.43

Similar Items