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Monitoring of Credit Risk through the Cycle: Risk Indicators

Author

Listed:
  • Yashkir, Olga
  • Yashkir, Yuriy

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.

Suggested Citation

  • Yashkir, Olga & Yashkir, Yuriy, 2013. "Monitoring of Credit Risk through the Cycle: Risk Indicators," MPRA Paper 46402, University Library of Munich, Germany.
  • Handle: RePEc:pra:mprapa:46402
    as

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    File URL: https://mpra.ub.uni-muenchen.de/46402/1/MPRA_paper_46402.pdf
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    References listed on IDEAS

    as
    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," Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik), De Gruyter, pages 82-106.
    2. 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.
    3. Christina Ziegler, 2009. "Testing Predicitive Ability of Business Cycle Indicators for the Euro Area," ifo Working Paper Series 69, ifo Institute - Leibniz Institute for Economic Research at the University of Munich.
    4. Paul Ormerod, 2004. "Information cascades and the distribution of economic recessions in the United States," Papers cond-mat/0402648, arXiv.org.
    Full references (including those not matched with items on IDEAS)

    More about this item

    Keywords

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

    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

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