Corporate credit risk modeling and the macroeconomy

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Corporate credit risk modeling and the macroeconomy

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Carling, Kenneth
Jacobson, Tor
Linde, Jesper
Roszbach, Kasper

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Article provided by Elsevier in its journal Journal of Banking & Finance.

Volume (Year): 31 (2007)
Issue (Month): 3 (March)
Pages: 845-868
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Handle: RePEc:eee:jbfina:v:31:y:2007:i:3:p:845-868

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Jesper Tor Jacobson & Kasper Roszbach Lindé, 2004. "Credit Risk Versus Capital Requirements Under Basel II: Are SME Loans and Retail Credit Really Di Erent?," Departmental Working Papers 199, Tor Vergata University, CEIS. [Downloadable!]
Other versions:
- Jacobson, Tor & Lindé, Jesper & Roszbach, Kasper, 2004. "Credit Risk versus Capital Requirements under Basel II: Are SME Loans and Retail Credit Really Different?," Working Paper Series 162, Sveriges Riksbank (Central Bank of Sweden). [Downloadable!]
- Tor Jacobson & Jesper LindÃ© & Kasper Roszbach, 2005. "Credit Risk Versus Capital Requirements under Basel II: Are SME Loans and Retail Credit Really Different?," Journal of Financial Services Research, Springer, vol. 28(1), pages 43-75, October. [Downloadable!] (restricted)
Suzan Hol, 2006. "The influence of the business cycle on bankruptcy probability," Discussion Papers 466, Research Department of Statistics Norway. [Downloadable!]
NIETO, Sebastián, 2005. "The Macroeconomic Implications of the New Banking Capital Regulation in Emerging Markets: A Duopoly Model Adapted to Risk-Averse Banks," REVISTA DE ECONOMÍA DEL ROSARIO, UNIVERSIDAD DEL ROSARIO - FACULTAD DE ECONOMÍA. [Downloadable!]
Siem Jan Koopman & Roman Kraeussl & Andre Lucas & Andre Monteiro, 2006. "Credit Cycles and Macro Fundamentals," Tinbergen Institute Discussion Papers 06-023/2, Tinbergen Institute. [Downloadable!]
Other versions:
- Siem Jan Koopman & Roman Kräussl & André Lucas & André Monteiro, 2007. "Credit Cycles and Macro Fundamentals," CFS Working Paper Series 2006/33, Center for Financial Studies. [Downloadable!]
- Koopman, Siem Jan & Kräussl, Roman & Lucas, André & Monteiro, André B., 2009. "Credit cycles and macro fundamentals," Journal of Empirical Finance, Elsevier, vol. 16(1), pages 42-54, January. [Downloadable!] (restricted)
Anil Kashyap & Jeremy C. Stein, 2004. "Cyclical implications of the Basel II capital standards," Economic Perspectives, Federal Reserve Bank of Chicago, issue Q I, pages 18-31. [Downloadable!]
Carling, Kenneth & Rönnegård, Lars & Roszbach, Kasper, 2004. "Is Firm Interdependence within Industries Important for Portfolio Credit Risk?," Working Paper Series 168, Sveriges Riksbank (Central Bank of Sweden). [Downloadable!]
cipollini, andrea & missaglia, giuseppe, 2007. "Dynamic Factor analysis of industry sector default rates and implication for Portfolio Credit Risk Modelling," MPRA Paper 3582, University Library of Munich, Germany. [Downloadable!]
Other versions:
- Andrea Cipollini & Giuseppe Missaglia, 2007. "Dynamic Factor analysis of industry sector default rates and implication for Portfolio Credit Risk Modelling," Center for Economic Research (RECent) 007, University of Modena and Reggio E., Dept. of Economics. [Downloadable!]

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