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Monitoring of Credit Risk through the Cycle: Risk Indicators

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  • Yashkir, Olga
  • Yashkir, Yuriy
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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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    File URL: http://mpra.ub.uni-muenchen.de/46402/
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    Bibliographic Info

    Paper provided by University Library of Munich, Germany in its series MPRA Paper with number 46402.

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    Date of creation: 02 Mar 2013
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    Handle: RePEc:pra:mprapa:46402

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    Keywords: Credit Risk; Risk Indicator; Correlation; Business Cycle; Default Rate;

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    1. Carstensen, Kai & Wohlrabe, Klaus & Ziegler, Christina, 2011. "Predictive ability of business cycle indicators under test: A case study for the Euro area industrial production," Munich Reprints in Economics 19953, University of Munich, Department of Economics.
    2. 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.
    3. Ormerod, Paul, 2004. "Information cascades and the distribution of economic recessions in capitalist economies," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 341(C), pages 556-568.
    4. 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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