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:

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
• 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

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