Yashkir, Olga and Yashkir, Yuriy (2013): Monitoring of Credit Risk through the Cycle: Risk Indicators. Forthcoming in:
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Abstract
The new Credit Risk Indicator (CRI) based on credit rating migration matrices is introduced. We demonstrate strong correlation between CRI and a number of defaults through several business cycles. The new model for the simulation of the annual number of defaults, based on the 1st quarter CRI data, is proposed.
Item Type: | MPRA Paper |
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Original Title: | Monitoring of Credit Risk through the Cycle: Risk Indicators |
Language: | English |
Keywords: | Credit Risk, Risk Indicator, Correlation, Business Cycle, Default Rate |
Subjects: | E - Macroeconomics and Monetary Economics > E3 - Prices, Business Fluctuations, and Cycles > E32 - Business Fluctuations ; Cycles E - Macroeconomics and Monetary Economics > E3 - Prices, Business Fluctuations, and Cycles > E37 - Forecasting and Simulation: Models and Applications G - Financial Economics > G1 - General Financial Markets > G17 - Financial Forecasting and Simulation |
Item ID: | 46402 |
Depositing User: | Yuriy Yashkir |
Date Deposited: | 21 Apr 2013 00:07 |
Last Modified: | 26 Sep 2019 16:11 |
References: | Edward I. Altman, Brooks Brady, Andrea Resti, and Andrea Sironi. The link between default and recovery rates. Working Paper, September 2003. "Series CREDIT & DEBT MARKETS Research Group". Kai Carstensen, Klaus Wohlrabe, and Christina Ziegler. Predictive ability of business cycle indicators under test: A case study for the euro area industrial production. CESIFO Working paper, (3158), August 2010. ECDG. European business cycle indicator, 4th quarter 2012. short term analysis from european commission's directorate general for economic and fnancial affairs. 2012. Kathryn Okashima and Martin S. Frison. Downgrade/upgrade ratio leads default rate.Journal of Fixed Income, 10(2):18 - 24, 2000. Paul Ormerod. Information cascades and the distribution of 3 economic recessions in capitalist economies. Physica A, 2004. S&P. Default, transition, and recovery: 2011 annual global corporate default study and rating transitions. March 2012. Christina Ziegler. Testing predictive ability of business cycle indicators for the euro area. Working Paper, (77), January 2009. ISSN 1437-9384. |
URI: | https://mpra.ub.uni-muenchen.de/id/eprint/46402 |