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Innovative Approach for Forecasting Corporate Default Risk

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  • Prashant Kumar Behera

Abstract

:Present time corporate default risk parameters are dynamic in nature and understanding how these parameters change in time is a fundamental task for risk management. In this research paper I am trying to forecast for corporate default rates. Â I work with historical credit migrations data to construct some time series of interest and to visualize default rates dynamics and also, I use some of the series constructed and some additional data to fit a forecasting model for corporate default rates and to shows some back testing and stress testing. A linear regression model for corporate default rates is presented but the tools and concepts described can be used in combination with other forecasting methodologies.

Suggested Citation

  • Prashant Kumar Behera, 2018. "Innovative Approach for Forecasting Corporate Default Risk," Journal of Global Economy, Research Centre for Social Sciences,Mumbai, India, vol. 14(2), pages 106-119, June.
    • Handle: RePEc:jge:journl:1422
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    More about this item

    Keywords

    Default risk; back testing; stress testing and transition matrix;
    All these keywords.

    JEL classification:

    • D8 - Microeconomics - - Information, Knowledge, and Uncertainty
    • I2 - Health, Education, and Welfare - - Education

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