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Monitoring of Credit Risk through the Cycle: Risk Indicators

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.

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