Structural models of default: lessons from firm-level data

Structural credit risk models account for the average level of default rates within rating categories only when calibrated on a firm by firm basis. Nevertheless, firm-specific information matters little when one is interested in forecasting the path of default rates over time. This is because economic factors common to all firms strongly influence the evolution of default predictions.

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Year of publication:	2005
Authors:	Tarashev, Nikola
Published in:	BIS Quarterly Review. - Bank for International Settlements (BIS). - 2005, September
Publisher:	Bank for International Settlements (BIS)

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Extent:	application/pdf text/html
Type of publication:	Article
Classification:	C52 - Model Evaluation and Testing ; G10 - General Financial Markets. General ; G30 - Corporate Finance and Governance. General
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005063287