Monitoring of Credit Risk through the Cycle: Risk Indicators
AbstractThe 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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Bibliographic InfoPaper provided by University Library of Munich, Germany in its series MPRA Paper with number 46402.
Date of creation: 02 Mar 2013
Date of revision:
Credit Risk; Risk Indicator; Correlation; Business Cycle; Default Rate;
Find related papers by JEL classification:
- E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles
- E37 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Forecasting and Simulation: Models and Applications
- G17 - Financial Economics - - General Financial Markets - - - Financial Forecasting and Simulation
This paper has been announced in the following NEP Reports:
- NEP-ALL-2013-04-27 (All new papers)
- NEP-BAN-2013-04-27 (Banking)
- NEP-MAC-2013-04-27 (Macroeconomics)
- NEP-RMG-2013-04-27 (Risk Management)
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Christina Ziegler, 2009. "Testing Predicitive Ability of Business Cycle Indicators for the Euro Area," Ifo Working Paper Series Ifo Working Paper No. 69, Ifo Institute for Economic Research at the University of Munich.
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Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik),
Justus-Liebig University Giessen, Department of Statistics and Economics, vol. 231(1), pages 82-106, February.
- Carstensen, Kai & Wohlrabe, Klaus & Ziegler, Christina, 2010. "Predictive Ability of Business Cycle Indicators under Test: A Case Study for the Euro Area Industrial Production," Discussion Papers in Economics 11442, University of Munich, Department of Economics.
- Kai Carstensen & Klaus Wohlrabe & Christina Ziegler, 2010. "Predictive Ability of Business Cycle Indicators under Test: A Case Study for the Euro Area Industrial Production," CESifo Working Paper Series 3158, CESifo Group Munich.
- Paul Ormerod, 2004. "Information cascades and the distribution of economic recessions in the United States," Papers cond-mat/0402648, arXiv.org.
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